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Nasdaq CHRIS Futures Data Access and Discontinuation

Article Quant Q&A · Author: Alexander
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Summary

The document describes a data-access problem involving Nasdaq Data Link’s CHRIS continuous futures datasets. A user could retrieve other datasets with a valid API key but received access-denied errors when requesting historical daily futures data intended for studying term structure. The discussion suggests the issue was not necessarily caused by the user’s API call or key: CHRIS access had been discontinued as of August 2024.

The answer points to an external report about the discontinuation and notes that Nasdaq’s Python client had not been updated since 2022. This is useful context for researchers trying to reproduce workflows based on CHRIS data, but it does not explain a replacement source, provide a data migration method, or assess alternatives. Its access-status information is time-specific and should be checked against current provider documentation before relying on it.

Key ideas

  • A valid API key may not grant access to every Nasdaq Data Link dataset.
  • The answer attributes CHRIS access errors to the dataset’s discontinuation as of August 2024.
  • The Nasdaq Data Link Python client was reported as not updated since 2022.
  • The discussion gives no substitute source for historical futures term-structure research.

Tags

FuturesCommoditiesBacktesting
Full text
# commodity futures data from nasdaq (former quandl)


# commodity futures data from nasdaq (former quandl)












Has anyone worked with futures api from nasdaq?

I would like to get historic data (daily) to study the term structure (so different maturities). Naturally I found that nasdaq / quandl data which seems to be free:

https://data.nasdaq.com/data/CHRIS-wiki-continuous-futures/documentation

However, when I use the python library I get 403 error, when I use their API directly I get

Access denied Error 15 data.nasdaq.com

This an example for the API call: https://data.nasdaq.com/api/v3/datasets/CHRIS-wiki-continuous-futures/CME_NG1?api_key=API_KEY

I checked, my api key is valid, I can fetch data from other tables and datasets from nasdaq. I tried replacing CHRIS-wiki-continuous-futures by CHRIS but it's not working either.

Has anyone encountered something similar?

## Answer by Adam (score 1)

https://quant.stackexchange.com/a/84128

As of August 2024, access to CHRIS has been discontinued. See the following:

https://github.com/PacktPublishing/Python-for-Algorithmic-Trading-Cookbook/issues/5

https://github.com/PacktPublishing/Python-for-Algorithmic-Trading-Cookbook/blob/main/01.%20Acquiring%20Free%20Financial%20Market%20Data%20with%20Cutting-Edge%20Python%20Libraries/01a_diving_into_continuous_futures_data_with_nasdaq_data_link.ipynb

It is also worth noting that the Nasdaq Data Link API for python hasn't been updated since 2022:

https://github.com/Nasdaq/data-link-python

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.