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 *
class NadionParticleThrustAssembly(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2022, 8, 1) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
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:
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:
short_volume_by_symbol[symbol] = history.loc[quandl_symbol].iloc[0]['shortvolume']
# Remove Quandl data feed

# 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'