The free Quandl extension for Quantacula Studio allows you to consume historical data from the vast array of sources available at Quandl.com. Quandl is a hub of data offered by numerous individual providers, organized into Databases and Datasets. A Database represents a set of data from a specific provider. For example, Quandl offers a Database called WIKI which contains historical end-of-day stock market data curated by its community. Each Database contains Datasets which represent the individual components, analogous to symbols in Quantacula. For example, in the WIKI Database there are Datasets called AAPL and MSFT which represent the individual stocks.
To access the Quandl data, you first need to create an account at Quandl.com and obtain an API Key. The API Key is required whether you are accessing the free Databases, or the premium Databases.
After you obtain an API Key, create a New Data Source in Quantacula Studio and select Quandl as the provider. Press the Configure button, and enter your API Key in the field provided.
When specifying symbols in Quantacula Studio, use the convention Database/Dataset. For example, to access data for the stock FB in the free WIKI Database, use the symbol WIKI/FB.
When you configure the Quandl Data Source, you can establish a default Database. If you do not specify the Database in the symbol, the Quandl extension will use the default Database. If you configured the Data Source to use WIKI as the default Database, you could obtain historical data for FB by simply using FB as the symbol.
The extension also includes a Quandl indicator. When you use the indicator, you specify the Database and Dataset as parameters, and the indicator attempts to retrieve the data from Quandl using the "Value" field, if available. You can now use any of Quandl's indicators in your building block models. In the example below, we chart the Natural Rate of Unemployment Short Term (NROUST) from the Federal Reserve Economic Data (FRED) Database, on a monthly chart.
In the Quandl Indicator you can specify the @ character in the Dataset Code for certain Datasets that return information on groups of symbols such as stocks. The @ character will be replaced with the symbol being processed prior to retrieving the data from Quandl. For example, below is the SF1 fundamental Dataset, with EQUITY plotted on a monthly chart. Since we used the symbol @_EQUITY_MRQ, the resulting indicator will stay synchronized with the symbol being charted.
Support With the sheer array of data available at Quandl, you may run into issues trying to access a particular Database that we have not yet exercised in our extension. Please report any issues to us via the Community Forums. We will work to enhance the extension to handle the Quandl data that you want to access.