Hi All-

I found this great discussion around short interest data. I am also in need of this data. However, it appears with the Quandl merger into NASDAQ (now apart of or renamed to  the Data Link dataset??) that data has disappeared. When I run a backtest from this discussion it errors out, presumably because it can't find the Quandl dataset anymore. 

Can anyone advise me on how I can get short interest data? 

Below is the backtest which will display an error saying it can't find the Quandl dataset. 

 

#region imports

from AlgorithmImports import *

#endregion

class NadionParticleThrustAssembly(QCAlgorithm):



    def Initialize(self):

        self.SetStartDate(2022, 8, 1)  # Set Start Date

        self.SetCash(100000)  # Set Strategy Cash

        self.AddUniverse(self.MyCoarseFilterFunction)

        self.quandl_symbol_by_symbol = {}

            

    def MyCoarseFilterFunction(self, coarse):

        # Sort by dollar volume

        top_dollar_volume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)[:50]

        top_dollar_volume = [x.Symbol for x in top_dollar_volume]

        

        # Subscribe to Quandl datafeed for most liquid symbols

        for symbol in top_dollar_volume:

            if symbol in self.quandl_symbol_by_symbol:

                continue

            self.quandl_symbol_by_symbol[symbol] = self.AddData(QuandlFINRAData, f'FINRA/FNSQ_{symbol.Value}', Resolution.Daily).Symbol

        

        # Gather short volume of the most liquid symbols

        short_volume_by_symbol = {}

        symbols_to_remove = []

        for symbol, quandl_symbol in self.quandl_symbol_by_symbol.items():

            if symbol in top_dollar_volume:

                history = self.History(quandl_symbol, 1)

                if history.empty or 'shortvolume' not in history.columns:

                    continue

                short_volume_by_symbol[symbol] = history.loc[quandl_symbol].iloc[0]['shortvolume']

            else:

                # Remove Quandl data feed

                symbols_to_remove.append(symbol)

                self.RemoveSecurity(quandl_symbol)

                

        # Remove symbols from the dictionary that don't have an active quandl subscription

        for symbol in symbols_to_remove:

            self.quandl_symbol_by_symbol.pop(symbol, None)

            

        # Return symbols with highest short volume

        sorted_by_short_volume = sorted(short_volume_by_symbol.items(), key=lambda x: x[1], reverse=True)

        self.symbols = [symbol for symbol, _ in sorted_by_short_volume[:5]]

        return self.symbols

    

    def OnData(self, data):

        ## Access the value of the Quandl data using the standard accessor

        for symbol in self.symbols:

            quandl_symbol = self.quandl_symbol_by_symbol[symbol]

            if data.ContainsKey(quandl_symbol) and data[quandl_symbol] is not None:

                self.Log(f"Short interest of {str(symbol)}: {data[quandl_symbol].Value}")



class QuandlFINRAData(PythonQuandl):

    

    def __init__(self):

        ## Rename the Quandl object column to the data we want, which is the 'ShortVolume' column

        ## of the CSV that our API call returns

        self.ValueColumnName = 'ShortVolume'