About US Equity Security Master
The US Equity Security Master dataset by QuantConnect tracks US Equity corporate actions. The data covers approximately 27,500 US Equities, starts in January 1998, and is delivered on a daily update frequency. With the map and factor files installed in LEAN, all corporate actions are automatically handled and passed into your algorithm as events.
About QuantConnect
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
About QuantConnect
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
Algorithm Example
class USEquitySecurityMasterAlgorithm (QCAlgorithm):
def Initialize(self):
self.SetStartDate(1998, 1, 1)
self.SetCash(1000000)
self.equity = self.AddEquity("AAPL", Resolution.Daily).Symbol
def OnData(self, data):
# Accessing Data - Splits
split = data.Splits.get(self.equity)
if split:
self.Debug(f"{self.Time} >> SPLIT >> {split.Symbol} - {split.SplitFactor} - {self.Portfolio.Cash} - {self.Portfolio[self.equity].Price}")
# Accessing Data - Dividends
dividend = data.Dividends.get(self.equity)
if dividend:
self.Debug(f"{self.Time} >> DIVIDEND >> {dividend.Symbol} - {dividend.Distribution} - {self.Portfolio.Cash} - {self.Portfolio[self.equity].Price}")
# Accessing Data - Delisting
delisting = data.Delistings.get(self.equity)
if delisting:
delistingType = {0: "Warning", 1: "Delisted"}.get(delisting.Type)
self.Debug(f"{self.Time} >> DELISTING >> {delisting.Symbol} - {delistingType}")
# Accessing Data - Symbol Changed Event
symbolChangedEvent = data.SymbolChangedEvents.get(self.equity)
if symbolChangedEvent:
self.Debug(f"{self.Time} >> SYMBOL CHANGED >> {symbolChangedEvent.OldSymbol} -> {symbolChangedEvent.NewSymbol}")
Example Applications
The QuantConnect US Security Master enables researchers to accurately design strategies harnessing any core corporate actions. Examples include:
- Post-dividend announcement trading strategies.
- Trading on new equities by monitoring for IPOs.
- Harnessing split announcements for reverse-split announcement momentum.
Pricing
Cloud Access
Split, dividend, and survivorship bias free US Equities backtesting is enabled by the QuantConnect US Equity Security Master.
Download On Premise
Split, dividend, and survivorship bias free US Equities backtesting is enabled by the QuantConnect US Equity Security Master.
Bulk Download
Split, dividend, and survivorship bias free US Equities backtesting is enabled by the QuantConnect US Equity Security Master.
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