Nasdaq Static, Streaming and Fundamental Provider

Modified on 2019/10/31 06:25 by Eugene — Categorized as: Providers

This is a provider suite that consists of two data providers:

Nasdaq U.S. downloads static data, streaming data, and fundamental items for U.S. and select international stocks from Nasdaq.com website
Nasdaq OMX Nordic downloads static and streaming data for Nordic stocks from NasdaqOMXNordic.com website

Static provider returns 10 years (approximately 2500+ bars) of daily (EOD) historical data.

Streaming provider supports Wealth-Lab's Paper Trading feature for U.S. market only. The "Nasdaq Nordic" provider does not support paper trading.

Partial bar (Nordic stocks only)

Nasdaq fundamental items

When "Always return data with partial bar" is enabled on provider's Data Manager tab, static data (for Nordic stocks only) will include the current day's partial bar, and the last bar will be corrected on each update.

Classification Groups (Nordic stocks only)

Nasdaq fundamental items

Users can choose symbols or entire indices from Classification Groups by selecting "Nasdaq Nordic" in the New DataSet Wizard. Your suggestions for inclusion of new indices to the Classification Groups are welcome.

While entering symbols manually will not be supported in the Nasdaq Nordic provider, to quickly view a Nordic symbol's data on demand, simply add its instrument code (e.g. SSE3966) the usual way using the "primary" Nasdaq provider's (for U.S. stocks) New DataSet Wizard dialog.

Fundamental data (U.S. stocks only)

Nasdaq fundamental items

The Nasdaq U.S. provider supports two available items: short interest and dividends. The short interest data is available on a bi-weekly basis for NASDAQ stocks only (not for NYSE and AMEX stocks) and contains fields SettlementDate, Interest and DaysToCover.

Provider returns extended dividend data going back to 2000 (for NASDAQ stocks; for others from 2013 only): date, dividend type, cash amount, declaration, record and payable dates. Each dividend item comes with these extra details attached: ExDate, Type, CashAmount, DeclarationDate, RecordDate, and PaymentDate.

They are available in two forms:

In a popup when mousing over a [naz] Dividend or [naz] Short Interest item on a stock chart
In WealthScript Strategoes via the GetDetail or FormatValue methods:

Make sure you've collected the fundamental data before running this Strategy (Data Manager > "Update Data" tab > check "Nasdaq fundamental data" > go to "DataSets" tab > click "Update DataSet").

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			// Illustrates how to handle Nasdaq.com's extended dividend information with GetDetail
			
			const char tab = '\u0009';                                      
			string item = "[naz] Dividend";
			IList<FundamentalItem> fList = FundamentalDataItems(item);            
			ClearDebug();
			PrintDebug(item);
			PrintDebug(Bars.Symbol + tab + "Item Count: " + fList.Count);
			foreach (FundamentalItem fi in fList)
			{
				PrintDebug(
					fi.Date.ToShortDateString() + tab +
					fi.Value.ToString() + tab +
					fi.GetDetail("ExDate") + tab +
					fi.GetDetail("Type") + tab +
					fi.GetDetail("CashAmount") + tab +
					fi.GetDetail("DeclarationDate") + tab +
					fi.GetDetail("RecordDate") + tab +
					fi.GetDetail("PaymentDate") + tab);
			}
			
			PrintDebug("\r\n");
			item = "[naz] Short Interest";
			fList = FundamentalDataItems(item);            
			PrintDebug(item);
			PrintDebug(Bars.Symbol + tab + "Item Count: " + fList.Count);
			foreach (FundamentalItem fi in fList)
			{
				PrintDebug(
					fi.GetDetail("SettlementDate") + tab +					
					fi.GetDetail("Interest") + tab +
					fi.GetDetail("DaysToCover") + tab);
			}
		}
	}
}

Issues and limitations

Provider does not have the means to adjust for splits and dividends. To maintain your data in good shape, either perform splits manually or reload the DataSet from scratch using the Data Tool's "Remove all data" feature and then updating the DataSet.
Paper Trading and fundamental data are not supported by Nasdaq OMX Nordic Streaming provider.
Short interest for NYSE and AMEX stocks is not supported by Nasdaq fundamental provider.