Can I change the frequency of the data that I download using the API?
Yes, you can use the collapse argument to do this. For example:
https://www.quandl.com/api/v3/datasets/DOE/RWTC.csv?collapse=quarterly # collapse = daily|weekly|monthly|quarterly|annual
The above call takes the dataset DOE/RWTC which is a daily dataset, and converts it to quarterly.
Note that the conversion process is very simple: Quandl just takes the last observation in the quarter and uses that as the quarterly datum. This does not work well for datasets that contain percentage changes, period averages/totals (e.g. trading volume) or period extremes (e.g. high/low). For such datasets, we recommend downloading the raw data and carrying out the required transformation using your own analytic tool.
Note that you can only convert a dataset to a lower sampling frequency (e.g. daily to monthly) and never the other way around (e.g. annual to daily).