Nasdaq Data Link

Nasdaq Data Link provides a modern and efficient method of delivery for realtime exchange data and other financial information. Data is made available through a suite of APIs, allowing for effortless integration of data from disparate sources, and a dramatic reduction in time to market for customer-designed applications. The API is highly scalable, and robust enough to support the delivery of real-time exchange data.

Products Currently Available

Equities

The Nasdaq Stock Market

• Nasdaq Basic(real-time & delayed)
• Nasdaq Last Sale+ (real-time & delayed)
• Nasdaq TotalView
• Nasdaq Consolidated Quotes and Trades (real-time & delayed)

Nasdaq Texas

• Texas BBO
• Texas Last Sale

Nasdaq PSX

• PSX BBO
• PSX Last Sale

Nasdaq Canada

• Nasdaq Canada Basic

OTC Markets

• OTC Markets (real-time & delayed)

Bruce Markets

• Bruce Best Bid and Offer
• Bruce Last Sale
• Bruce Depth of Book

Indexes & ETPs

• Global Index Data Service

Options

Nasdaq U.S. Derivatives

• Nasdaq Smart Options
• Nasdaq Options Greeks and Implied Volatility
• Nasdaq Options Greeks and Implied Volatility Powered by Nasdaq Basic

Mutual Funds

• Nasdaq Fund Network

News

• Financial News - MT Newswires
• Benzinga Market Newswires

Items To Note

• Connecting to the API requires credentials, which are provided by the Nasdaq Data Operations team during an on-boarding process
• This sample code only connects to one topic (NLSPLUS-CTA-V4); during on-boarding process, you will receive a topic list that you're entitled to.
• See https://github.com/Nasdaq/NasdaqCloudDataService-SDK-Java for our officially support Java-based SDK.

Table of Contents

• Getting Started
• Using the SDK

Getting Started

Python version support

The SDK currently supports Python 3.9 and above

Get the SDK

The source code is currently hosted on GitHub at: https://github.com/Nasdaq/NasdaqCloudDataService-SDK-Python

• Clone the repository: git clone https://github.com/Nasdaq/NasdaqCloudDataService-SDK-Python.git
• Move into the directory cd NasdaqCloudDataService-SDK-Python
• Install the library and its dependencies from local source with pip install -e .

Optional: to use the Jupyter notebook provided,

• Download Jupyter notebook using either pip pip3 install notebook or conda conda install -c conda-forge notebook
• To run the notebook, use the command jupyter notebook and the Notebook Dashboard will open in your browser
• Select the file python_sdk_examples.ipynb

Stream configuration

Replace example stream properties in the file kafka-config.json (https://github.com/Nasdaq/NasdaqCloudDataService-SDK-Python/blob/master/ncdssdk_client/src/main/python/resources/kafka-config.json) with provided values during on-boarding.

Required kafka configuration

"bootstrap.servers": {streams_endpoint_url}:9094

For optional consumer configurations see: https://github.com/edenhill/librdkafka/blob/master/CONFIGURATION.md

Client Authentication configuration

Replace example client authentication properties in the file client-authentication-config.json (https://github.com/Nasdaq/NasdaqCloudDataService-SDK-Python/blob/master/ncdssdk_client/src/main/python/resources/client-authentication-config.json) with valid credentials provided during on-boarding.

oauth.token.endpoint.uri: "https://{auth_endpoint_url}/auth/realms/pro-realm/protocol/openid-connect/token"
oauth.client.id: "client_id"
oauth.client.secret: "client_secret"

Logging Configuration

To enable debug logging, edit the file (https://github.com/Nasdaq/NasdaqCloudDataService-SDK-Python/blob/master/ncdssdk/src/main/resources/logging.json) and change the logging levels in whichever handler you would like output to go to.

For example, to enable debug logging to a file:

"file_handler": {
      "class": "logging.handlers.RotatingFileHandler",
      "level": "DEBUG",
      "formatter": "simple",
      "filename": "logging.log",
      "maxBytes": 10485760,
      "backupCount": 20,
      "encoding": "utf8"
    }
  },

  "loggers": {
    "": {
      "level": "DEBUG",
      "handlers": ["console", "file_handler"],
      "propogate": false
    }
  }
}

Next, add a debug option to your kafka configurations:

kafka_cfg = {
    "bootstrap.servers": "{streams_endpoint_url}:9094",
    "auto.offset.reset": "earliest",
    "debug": "all"
}

Create NCDS Session Client

How to run:

-opt -- Provide the operation you want to perform \n" +
  "        * TOP - View the top nnn records in the Topic/Stream\n" +
  "        * SCHEMA - Display the Schema for the topic\n" +
  "        * METRICS - Display the Metrics for the topic\n" +
  "        * TOPICS - List of streams available on Nasdaq Cloud DataService\n" +
  "        * GETMSG - Get one example message for the given message name\n" +
  "        * CONTSTREAM   - Retrieve continuous stream  \n" +
  "        * FILTERSTREAM  - Retrieve continuous stream filtered by symbols and/or msgtypes \n" +
  "        * HELP - help \n" +
"-topic -- Provide topic for selected option         --- REQUIRED for TOP,SCHEMA,METRICS,GETMSG,CONTSTREAM and FILTERSTREAM \n" +
"-symbols -- Provide symbols comma separated list    --- OPTIONAL for FILTERSTREAM" +
"-msgnames -- Provide msgnames comma separated list  --- OPTIONAL for FILTERSTREAM" +
"-authprops -- Provide Client Properties File path   --- For using different set of Client Authentication Properties \n" +
"-kafkaprops -- Provide Kafka Properties File path   --- For using different set of Kafka Properties \n" +
"-n -- Provide number of messages to retrieve        --- REQUIRED for TOP \n" +
"-msgName -- Provide name of message based on schema --- REQUIRED for GETMSG \n" +
"-timestamp -- Provide timestamp in milliseconds     --- OPTIONAL for TOP, CONTSTREAM and FILTERSTREAM\n"

A few examples:

Get first 100 records for given stream

python3.9 ncdssdk_client/src/main/python/ncdsclient/NCDSSession.py -opt TOP -n 100 -topic NLSPLUS-CTA-V4

Get all available streams

python3.9 ncdssdk_client/src/main/python/ncdsclient/NCDSSession.py -opt TOPICS

Using the SDK

Below are several examples for how to access data using the SDK. A Jupyter notebook with this same code and information is provided in the file python_sdk_examples.ipnyb

To run these examples, you will need the import and configuration dictionaries below. Replace the config information with your credentials.

from ncdssdk import NCDSClient

security_cfg = {
    "oauth.token.endpoint.uri": "https://{auth_endpoint_url}/auth/realms/demo/protocol/openid-connect/token",
    "oauth.client.id": "client",
    "oauth.client.secret": "client-secret"
}
kafka_cfg = {
    "bootstrap.servers": "{streams_endpoint_url}:9094",
    "auto.offset.reset": "earliest"
}

Getting list of data stream available

List all available data stream for the user

ncds_client = NCDSClient(security_cfg, kafka_cfg)
topics = ncds_client.list_topics_for_client()
print("Data set topics:")
for topic_entry in topics:
print(topic_entry)

Example output:

List of streams available on Nasdaq Cloud Data Service:
GIDS
NLSPLUS-UTP-V4
NLSPLUS-CTA-V4

Getting schema for the stream

This method returns the schema for the stream in Apache Avro format (https://avro.apache.org/docs/current/spec.html)

ncds_client = NCDSClient(security_cfg, kafka_cfg)
topic = "NLSPLUS-CTA-V4"
schema = ncds_client.get_schema_for_topic(topic)
print(schema)

Example output:

[ {
"type" : "record",
"name" : "SeqAdjClosingPrice",
"namespace" : "com.nasdaq.equities.trades.applications.nls.messaging.binary21",
"fields" : [ {
  "name" : "SoupPartition",
  "type" : "int"
}, {
  "name" : "SoupSequence",
  "type" : "long"
}, {
  "name" : "trackingID",
  "type" : "long"
}, {
  "name" : "msgType",
  "type" : "string"
}, {
  "name" : "symbol",
  "type" : "string"
}, {
  "name" : "securityClass",
  "type" : "string"
}, {
  "name" : "adjClosingPrice",
  "type" : "int"
} ],
"version" : "1"
}, {...
} .......
.... ]

Get first 10 messages of the stream

ncds_client = NCDSClient(security_cfg, kafka_cfg)
topic = "NLSPLUS-CTA-V4"
records = ncds_client.top_messages(topic)
for i in range(0, 10):
    print("key: ", records[i].key())
    print("value: ", str(records[i].value()))

Example output:

Top 10 Records for the Topic: NLSPLUS-CTA-V4
key: 14600739
value: {"SoupPartition": 0, "SoupSequence": 14600739, "trackingID": 72000000024569, "msgType": "S", "event": "E", "schema_name": "SeqSystemEventMessage"}
key: 14600740
value: {"SoupPartition": 0, "SoupSequence": 14600740, "trackingID": 72900000006514, "msgType": "J", "symbol": "A", "securityClass": "N", "consHigh": 1487799, "consLow": 1466600, "consClose": 1478100, "cosolidatedVolume": 1259303, "consOpen": 1486800, "schema_name": "SeqEndOfDayTradeSummary"}
key: 14600741
value: {"SoupPartition": 0, "SoupSequence": 14600741, "trackingID": 72900000006514, "msgType": "J", "symbol": "AA", "securityClass": "N", "consHigh": 378039, "consLow": 366800, "consClose": 368400, "cosolidatedVolume": 6047752, "consOpen": 372000, "schema_name": "SeqEndOfDayTradeSummary"}
key: 14600742
value: {"SoupPartition": 0, "SoupSequence": 14600742, "trackingID": 72900000006514, "msgType": "