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Nasdaq Data Link provides a modern and efficient method of delivery for real-time exchange data and other financial information. This repository provides a Python SDK for developing applications using Nasdaq Data Link's real-time data.

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Nasdaq/NasdaqCloudDataService-SDK-Python

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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 BX

Nasdaq PSX

Nasdaq Canada

OTC Markets

Bruce Markets

Indexes & ETPs

Options

Nasdaq U.S. Derivatives

Mutual Funds

News

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 (NLSCTA); during on-boarding process, you will receive a topic list that you're entitled to.
  • Seehttps://github.com/Nasdaq/NasdaqCloudDataService-SDK-Java for our officially support Java-based SDK.

Table of Contents

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 directorycd NasdaqCloudDataService-SDK-Python
  • Install the library and its dependencies from local source withpip install -e .

Optional: to use the Jupyter notebook provided,

  • Download Jupyter notebook using either pippip3 install notebook or condaconda install -c conda-forge notebook
  • To run the notebook, use the commandjupyter notebook and the Notebook Dashboard will open in your browser
  • Select the filepython_sdk_examples.ipynb

Stream configuration

Replace example stream properties in the filekafka-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 fileclient-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 NLSCTA

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 filepython_sdk_examples.ipnyb

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

fromncdssdkimportNCDSClientsecurity_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:")fortopic_entryintopics:print(topic_entry)

Example output:

List of streams available on Nasdaq Cloud Data Service:GIDSNLSUTPNLSCTA

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="NLSCTA"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="NLSCTA"records=ncds_client.top_messages(topic)foriinrange(0,10):print("key: ",records[i].key())print("value: ",str(records[i].value()))

Example output:

Top 10 Records for the Topic: NLSCTAkey: 14600739value: {"SoupPartition": 0, "SoupSequence": 14600739, "trackingID": 72000000024569, "msgType": "S", "event": "E", "schema_name": "SeqSystemEventMessage"}key: 14600740value: {"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: 14600741value: {"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: 14600742value: {"SoupPartition": 0, "SoupSequence": 14600742, "trackingID": 72900000006514, "msgType": "J", "symbol": "AAA", "securityClass": "P", "consHigh": 250400, "consLow": 250101, "consClose": 250250, "cosolidatedVolume": 3121, "consOpen": 250400, "schema_name": "SeqEndOfDayTradeSummary"}key: 14600743value: {"SoupPartition": 0, "SoupSequence": 14600743, "trackingID": 72900000006514, "msgType": "J", "symbol": "AAAU", "securityClass": "P", "consHigh": 176500, "consLow": 174700, "consClose": 176000, "cosolidatedVolume": 303143, "consOpen": 175000, "schema_name": "SeqEndOfDayTradeSummary"}key: 14600744value: {"SoupPartition": 0, "SoupSequence": 14600744, "trackingID": 72900000006514, "msgType": "J", "symbol": "AAC", "securityClass": "N", "consHigh": 97900, "consLow": 97500, "consClose": 97500, "cosolidatedVolume": 19787, "consOpen": 97600, "schema_name": "SeqEndOfDayTradeSummary"}key: 14600745value: {"SoupPartition": 0, "SoupSequence": 14600745, "trackingID": 72900000006514, "msgType": "J", "symbol": "AAC+", "securityClass": "N", "consHigh": 12800, "consLow": 12000, "consClose": 12500, "cosolidatedVolume": 85652, "consOpen": 12300, "schema_name": "SeqEndOfDayTradeSummary"}key: 14600746value: {"SoupPartition": 0, "SoupSequence": 14600746, "trackingID": 72900000006514, "msgType": "J", "symbol": "AAC=", "securityClass": "N", "consHigh": 100500, "consLow": 99500, "consClose": 100000, "cosolidatedVolume": 74060, "consOpen": 99500, "schema_name": "SeqEndOfDayTradeSummary"}key: 14600747value: {"SoupPartition": 0, "SoupSequence": 14600747, "trackingID": 72900000006514, "msgType": "J", "symbol": "AAIC", "securityClass": "N", "consHigh": 41850, "consLow": 40600, "consClose": 40600, "cosolidatedVolume": 241597, "consOpen": 41800, "schema_name": "SeqEndOfDayTradeSummary"}key: 14600748value: {"SoupPartition": 0, "SoupSequence": 14600748, "trackingID": 72900000006514, "msgType": "J", "symbol": "AAIC-B", "securityClass": "N", "consHigh": 249700, "consLow": 249700, "consClose": 249700, "cosolidatedVolume": 238, "consOpen": 249700, "schema_name": "SeqEndOfDayTradeSummary"}

Get first 10 messages of the stream from given timestamp

This returns the first 10 available messages of the stream given timestamp in milliseconds since the UNIX epoch.

ncds_client=NCDSClient(security_cfg,kafka_cfg)topic="NLSCTA"timestamp=1590084446510records=ncds_client.top_messages(topic,timestamp)foriinrange(0,10):print("key: ",records[i].key())print("value: ",str(records[i].value()))

Example output:

Offset: 105834100Top 10 Records for the Topic:NLSCTAkey:9362630value :{"SoupPartition": 0, "SoupSequence": 9362630, "trackingID": 50845551492208, "msgType": "T", "marketCenter": "L", "symbol": "SIVR    ", "securityClass": "P", "controlNumber": "0000A2MLOB", "price": 164797, "size": 1, "saleCondition": "@  o", "cosolidatedVolume": 520174}key:9362631value :{"SoupPartition": 0, "SoupSequence": 9362631, "trackingID": 50845557908136, "msgType": "T", "marketCenter": "Q", "symbol": "TJX     ", "securityClass": "N", "controlNumber": "   8358213", "price": 540300, "size": 100, "saleCondition": "@   ", "cosolidatedVolume": 16278768}key:9362632value :{"SoupPartition": 0, "SoupSequence": 9362632, "trackingID": 50845565203932, "msgType": "T", "marketCenter": "L", "symbol": "CMI     ", "securityClass": "N", "controlNumber": "0000A2MLOC", "price": 1579900, "size": 100, "saleCondition": "@   ", "cosolidatedVolume": 568622}key:9362633value :{"SoupPartition": 0, "SoupSequence": 9362633, "trackingID": 50845565791061, "msgType": "T", "marketCenter": "L", "symbol": "UTI     ", "securityClass": "N", "controlNumber": "0000A2MLOD", "price": 70150, "size": 64, "saleCondition": "@  o", "cosolidatedVolume": 151359}key:9362634value :{"SoupPartition": 0, "SoupSequence": 9362634, "trackingID": 50845566628604, "msgType": "T", "marketCenter": "L", "symbol": "UFS     ", "securityClass": "N", "controlNumber": "0000A2MLOE", "price": 203660, "size": 24, "saleCondition": "@  o", "cosolidatedVolume": 664962}key:9362635value :{"SoupPartition": 0, "SoupSequence": 9362635, "trackingID": 50845569154140, "msgType": "T", "marketCenter": "L", "symbol": "KR      ", "securityClass": "N", "controlNumber": "0000A2MLOF", "price": 320350, "size": 100, "saleCondition": "@   ", "cosolidatedVolume": 4054473}key:9362636value :{"SoupPartition": 0, "SoupSequence": 9362636, "trackingID": 50845577944984, "msgType": "T", "marketCenter": "L", "symbol": "PAGP    ", "securityClass": "N", "controlNumber": "0000A2MLOG", "price": 98350, "size": 100, "saleCondition": "@   ", "cosolidatedVolume": 1557084}key:9362637value :{"SoupPartition": 0, "SoupSequence": 9362637, "trackingID": 50845588007117, "msgType": "T", "marketCenter": "L", "symbol": "LUV     ", "securityClass": "N", "controlNumber": "0000A2MLOH", "price": 297413, "size": 4, "saleCondition": "@  o", "cosolidatedVolume": 16791899}key:9362638value :{"SoupPartition": 0, "SoupSequence": 9362638, "trackingID": 50845596356365, "msgType": "T", "marketCenter": "L", "symbol": "M       ", "securityClass": "N", "controlNumber": "0000A2MLOI", "price": 54000, "size": 10, "saleCondition": "@  o", "cosolidatedVolume": 39273663}key:9362639value :{"SoupPartition": 0, "SoupSequence": 9362639, "trackingID": 50845600594567, "msgType": "T", "marketCenter": "L", "symbol": "TTM     ", "securityClass": "N", "controlNumber": "0000A2MLOJ", "price": 56000, "size": 400, "saleCondition": "@   ", "cosolidatedVolume": 1293244}

Get example message from stream

Print message to the console for given message name.

ncds_client=NCDSClient(security_cfg,kafka_cfg)topic="NLSCTA"print(ncds_client.get_sample_messages(topic,"SeqDirectoryMessage",all_messages=False))

Example output:

{'SoupPartition': 0, 'SoupSequence': 500, 'trackingID': 11578737109589, 'msgType': 'R', 'symbol': 'AMN', 'marketClass': 'N', 'fsi': '', 'roundLotSize': 100, 'roundLotOnly': 'N', 'issueClass': 'C', 'issueSubtype': 'Z', 'authenticity': 'P', 'shortThreshold': 'N', 'ipo': '', 'luldTier': '2', 'etf': 'N', 'etfFactor': 0, 'inverseETF': 'N', 'compositeId': 'BBG000BCT197', 'schema_name': 'SeqDirectoryMessage'}

Get continuous stream

ncds_client=NCDSClient(security_cfg,kafka_cfg)topic="NLSCTA"consumer=ncds_client.ncds_kafka_consumer(topic)whileTrue:messages=consumer.consume(num_messages=1,timeout=5)iflen(messages)==0:print(f"No Records Found for the Topic:{topic}")formessageinmessages:print(f"value :"+str(message.value()))

Example output:note that only the first ten messages of the stream are shown in this example

value :{"SoupPartition": 0, "SoupSequence": 1, "trackingID": 7233292771056, "msgType": "S", "event": "O", "schema_name": "SeqSystemEventMessage"}value :{"SoupPartition": 0, "SoupSequence": 2, "trackingID": 11578719526113, "msgType": "R", "symbol": "A", "marketClass": "N", "fsi": "", "roundLotSize": 100, "roundLotOnly": "N", "issueClass": "C", "issueSubtype": "Z", "authenticity": "P", "shortThreshold": "N", "ipo": "", "luldTier": "1", "etf": "N", "etfFactor": 0, "inverseETF": "N", "compositeId": "BBG000C2V3D6", "schema_name": "SeqDirectoryMessage"}value :{"SoupPartition": 0, "SoupSequence": 3, "trackingID": 11578719526113, "msgType": "G", "symbol": "A", "securityClass": "N", "adjClosingPrice": 1500300, "schema_name": "SeqAdjClosingPrice"}value :{"SoupPartition": 0, "SoupSequence": 4, "trackingID": 11578719831656, "msgType": "R", "symbol": "AA", "marketClass": "N", "fsi": "", "roundLotSize": 100, "roundLotOnly": "N", "issueClass": "C", "issueSubtype": "Z", "authenticity": "P", "shortThreshold": "N", "ipo": "", "luldTier": "1", "etf": "N", "etfFactor": 1, "inverseETF": "N", "compositeId": "BBG00B3T3HD3", "schema_name": "SeqDirectoryMessage"}value :{"SoupPartition": 0, "SoupSequence": 5, "trackingID": 11578719831656, "msgType": "G", "symbol": "AA", "securityClass": "N", "adjClosingPrice": 374400, "schema_name": "SeqAdjClosingPrice"}value :{"SoupPartition": 0, "SoupSequence": 6, "trackingID": 11578719879872, "msgType": "R", "symbol": "AAA", "marketClass": "P", "fsi": "", "roundLotSize": 100, "roundLotOnly": "N", "issueClass": "Q", "issueSubtype": "I", "authenticity": "P", "shortThreshold": "N", "ipo": "", "luldTier": "2", "etf": "Y", "etfFactor": 1, "inverseETF": "N", "compositeId": "BBG00X5FSP48", "schema_name": "SeqDirectoryMessage"}value :{"SoupPartition": 0, "SoupSequence": 7, "trackingID": 11578719879872, "msgType": "G", "symbol": "AAA", "securityClass": "P", "adjClosingPrice": 250050, "schema_name": "SeqAdjClosingPrice"}value :{"SoupPartition": 0, "SoupSequence": 8, "trackingID": 11578719916519, "msgType": "R", "symbol": "AAAU", "marketClass": "P", "fsi": "", "roundLotSize": 100, "roundLotOnly": "N", "issueClass": "Q", "issueSubtype": "I", "authenticity": "P", "shortThreshold": "N", "ipo": "", "luldTier": "1", "etf": "Y", "etfFactor": 1, "inverseETF": "N", "compositeId": "BBG00LPXX872", "schema_name": "SeqDirectoryMessage"}value :{"SoupPartition": 0, "SoupSequence": 9, "trackingID": 11578719916519, "msgType": "G", "symbol": "AAAU", "securityClass": "P", "adjClosingPrice": 179850, "schema_name": "SeqAdjClosingPrice"}value :{"SoupPartition": 0, "SoupSequence": 10, "trackingID": 11578719950254, "msgType": "R", "symbol": "AAC", "marketClass": "N", "fsi": "", "roundLotSize": 100, "roundLotOnly": "N", "issueClass": "O", "issueSubtype": "Z", "authenticity": "P", "shortThreshold": "N", "ipo": "", "luldTier": "2", "etf": "N", "etfFactor": 1, "inverseETF": "N", "compositeId": "BBG00YZC2Z91", "schema_name": "SeqDirectoryMessage"}

Example syntax to run the client based on this SDK

  1. To list streams available on Nasdaq Cloud Data Service

python3.9 NCDSSession.py -opt TOPICS

  1. To display the schema for the given topic

python3.9 NCDSSession.py -opt SCHEMA -topic NLSCTA

  1. To dump top n records from the given topic

python3.9 NCDSSession.py -opt TOP -n 10 -topic NLSCTA

  1. To use client based specific authorization file instead of using from the resources of client code base

python3.9 NCDSSession.py -opt TOP -n 10 -topic NLSCTA -authprops client-authentication-config.json

  1. To use the specific kafka properties instead of using the kafka properties from the resources of the client base code

python3.9 NCDSSession.py -opt TOP -n 10 -topic NLSCTA -kafkaprops kafka-config.json

  1. To use the specific client based authorization file and specific kafka properties file

python3.9 NCDSSession.py -opt TOP -n 10 -topic NLSCTA -authprops client-authentication-config.json -kafkaprops kafka-config.json

  1. To display a specific message type

python3.9 NCDSSession.py -opt GETMSG -topic NLSCTA -msgname SeqDirectoryMessage

  1. To dump top n records from the given topic from given timestamp in milliseconds since the UNIX epoch

python3.9 NCDSSession.py -opt TOP -n 10 -topic NLSCTA -timestamp 1590084445610

  1. To retrieve a continuous stream of messages from the given topic

python3.9 NCDSSession.py -opt CONTSTREAM -topic NLSCTA

  1. To retrieve a stream of messages from the given topic, filtered by symbols or message names

python3.9 NCDSSession.py -opt FILTERSTREAM -topic NLSCTA -symbols SPCE

Documentation

An addition to the example application, there is extra documentation at the package and class level, which are located in projecthttps://github.com/Nasdaq/NasdaqCloudDataService-SDK-Python​/tree/master/ncdssdk/docs

Contributing

Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.

Please make sure to update tests as appropriate.

License

Code and documentation released under theApache License, Version 2.0

About

Nasdaq Data Link provides a modern and efficient method of delivery for real-time exchange data and other financial information. This repository provides a Python SDK for developing applications using Nasdaq Data Link's real-time data.

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