I am trying to download HFT data for XACT OMXS30, that is the EFT OMX30, but it says that all the weekdays that I am looking at are "not trading days". Only Wednesdays are trading days. Why is that? How can I access the data form the other weekdays?

All the Nasdaq datasets are being rewritten at the moment.

The years from 2010 to 2019 are fully available, while the year 2020 is done in spots because of the bigger size of the files due to the market reactions to the pandemic.

All the days of 2020 will be done soon, please try again in a week.