Ready to get started?

Learn more about the CData ODBC Driver for Quandl or download a free trial:

Download Now

Connect to Quandl as an External Data Source using PolyBase

Use the CData ODBC Driver for Quandl and PolyBase to create an external data source in SQL Server 2019 with access to live Quandl data.

PolyBase for SQL Server allows you to query external data by using the same Transact-SQL syntax used to query a database table. When paired with the CData ODBC Driver for Quandl, you get access to your Quandl data directly alongside your SQL Server data. This article walks through creating an external data source and external tables to grant access to live Quandl data using T-SQL queries.

The CData ODBC drivers offer unmatched performance for interacting with live Quandl data using PolyBase due to optimized data processing built into the driver. When you issue complex SQL queries from SQL Server to Quandl, the driver pushes down supported SQL operations, like filters and aggregations, directly to Quandl and utilizes the embedded SQL engine to process unsupported operations (often SQL functions and JOIN operations) client-side. And with PolyBase, you can also join SQL Server data with Quandl data, using a single query to pull data from distributed sources.

Connect to Quandl

If you have not already, first specify connection properties in an ODBC DSN (data source name). This is the last step of the driver installation. You can use the Microsoft ODBC Data Source Administrator to create and configure ODBC DSNs. To create an external data source in SQL Server using PolyBase, configure a System DSN (CData Quandl Sys is created automatically).

Quandl uses an API key for authentication. See the help documentation for a guide to obtaining the APIKey property.

Additionally, set the DatabaseCode connection property to the code identifying the Database whose Datasets you want to query with SQL. You can search the available Databases by querying the Databases view.

Click "Test Connection" to ensure that the DSN is connected to Quandl properly. Navigate to the Tables tab to review the table definitions for Quandl.

Create an External Data Source for Quandl Data

After configuring the connection, you need to create a master encryption key and a credential database for the external data source.

Creating a Master Encryption Key

Execute the following SQL command to create a new master key, 'ENCRYPTION,' to encrypt the credentials for the external data source.

CREATE MASTER KEY ENCRYPTION BY PASSWORD = 'password';

Creating a Credential Database

Execute the following SQL command to create credentials for the external data source connected to Quandl data.

NOTE: Since Quandl does not require a User or Password to authenticate, you may use whatever values you wish for IDENTITY and SECRET.

CREATE DATABASE SCOPED CREDENTIAL quandl_creds
WITH IDENTITY = 'username', SECRET = 'password';

Create an External Data Source for Quandl

Execute the following SQL command to create an external data source for Quandl with PolyBase, using the DSN and credentials configured earlier.

For Quandl, set SERVERNAME to 'localhost' or '127.0.0.1' and leave PORT empty. PUSHDOWN is set to ON by default, meaning the ODBC Driver can leverage server-side processing for complex queries.

CREATE EXTERNAL DATA SOURCE cdata_quandl_source
WITH ( 
  LOCATION = 'odbc://SERVERNAME[:PORT]',
  CONNECTION_OPTIONS = 'DSN=CData Quandl Sys',
  -- PUSHDOWN = ON | OFF,
  CREDENTIAL = quandl_creds
);

Create External Tables for Quandl

After creating the external data source, use CREATE EXTERNAL TABLE statements to link to Quandl data from your SQL Server instance. The table column definitions must match those exposed by the CData ODBC Driver for Quandl. You can refer to the Tables tab of the DSN Configuration Wizard to see the table definition.

Sample CREATE TABLE Statement

The statement to create an external table based on a Quandl AAPL would look similar to the following:

CREATE EXTERNAL TABLE AAPL(
  Date [nvarchar](255) NULL,
  Volume [nvarchar](255) NULL,
  ...
) WITH ( 
  LOCATION='AAPL',
  DATA_SOURCE=cdata_quandl_source
);

Having created external tables for Quandl in your SQL Server instance, you are now able to query local and remote data simultaneously. Thanks to built-in query processing in the CData ODBC Driver, you know that as much query processing as possible is being pushed to Quandl, freeing up local resources and computing power. Download a free, 30-day trial of the ODBC Driver for Quandl and start working with live Quandl data alongside your SQL Server data today.