Quandl Data Sets

Quandl, Inc. (acquired by NASDAQ) provides access to a large number of data sets. They offer essential core financial and economic data alongside a suite of alternative data.

Some of the data sets are freely available, and these can be accessed in the Exabel DSL. The full set of freely available data can be browsed on their website: Dataset search

Usage

The syntax for retrieving Quandl data is as follows:

quandl(code)

Retrieve the time series from Quandl with the given code.

Parameters:

code (str) – The code of the Quandl time series to retrieve

For example like this:

quandl('ML/USEY')

Sometimes, there are several time series included in the dataset that a Quandl code refers to. For instance, "CHRIS/ICE_B28" describes the “Brent Crude Futures, Continuous Contract”, and it has series for both open, high, low, settle, and so on. In this case, using the Quandl code directly retrieves all of the time series. By appending ".1" to the code, only the first time series in the data set is retrieved. So for instance, "CHRIS/ICE_B28.4" refers to the settle value of the Brent Crude Futures.

Examples of available data

Wiki Continuous Futures

Continuous contracts for all 600 futures on Quandl. Built on top of raw data from CME, ICE, LIFFE etc. Curated by the Quandl community. 50 years history.

Examples of time series available in this data set:

Time series name

Code

Brent Crude Futures, Continuous Contract

CHRIS/ICE_B28.4

Gas Oil Futures, Continuous Contract

CHRIS/ICE_G6.1

Shanghai Aluminium Futures, Continuous Contract

CHRIS/SHFE_AL2.6

Corporate Bond Yield Rates

Merrill Lynch, a major U.S. bank, publishes data on yield rates for corporate bonds in different regions.

Examples of time series available in this data set:

Time series name

Code

US Corporate Bond Index Yield

ML/USEY

US AAA-rated Bond Index Yield

ML/AAAEY

Emerging Markets High Yield Corporate Bond Index Yield

ML/EMHYY

S&P 500 Ratios

Examples of time series available in this data set:

Time series name

Code

S&P 500 Dividend Yield by Month

MULTPL/SP500_DIV_YIELD_MONTH

S&P 500 PE Ratio by Month

MULTPL/SP500_PE_RATIO_MONTH

Shiller PE Ratio by Month

MULTPL/SHILLER_PE_RATIO_MONTH

NASDAQ OMX Global Index Data

Over 35,000 global indexes published by NASDAQ OMX including Global Equity, Fixed Income, Dividend, Green, Nordic, Sharia and more. Daily data.

Examples of time series available in this data set:

Time series name

Code

NASDAQ Global Index

NASDAQOMX/NQGI

NASDAQ Europe Index

NASDAQOMX/NQEU

NASDAQ US Benchmark Index

NASDAQOMX/NQUSB

Federal Reserve Economic Data

Growth, employment, inflation, labor, manufacturing and other US economic statistics from the research department of the Federal Reserve Bank of St. Louis.

Examples of time series available in this data set:

Time series name

Code

Natural Rate of Unemployment

FRED/NROUST

Purchase Only House Price Index for the United States

FRED/HPIPONM226S