Financial Industry Regulatory Authority

from AlgorithmImports import *

class FINRAOtcTransparencyDataAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2022, 1, 1)
        self.set_end_date(2023, 1, 1)
        self.set_cash(100000)

        aapl = self.add_equity("AAPL", Resolution.DAILY).symbol
        self.short_interest = self.add_data(FINRAShortInterest, aapl).symbol
        self.weekly_summary = self.add_data(FINRAWeeklySummary, aapl).symbol
        self.monthly_summary = self.add_data(FINRAMonthlySummary, aapl).symbol

        history = self.history(FINRAShortInterest, self.short_interest, 30, Resolution.DAILY)
        self.debug(f"We got {len(history)} items from our history request")

    def on_data(self, slice):
        # Off-exchange volume prints as an activity signal
        for symbol, point in slice.get(FINRAMonthlySummary).items():
            self.debug(f"{symbol} non-ATS monthly shares at {slice.time}: {point.share_quantity}")

        for symbol, point in slice.get(FINRAShortInterest).items():
            if point.change is None:
                continue

            # Go short when open short interest is building; go long when it is unwinding
            if point.change > 0:
                self.set_holdings(symbol.underlying, -1)
            else:
                self.set_holdings(symbol.underlying, 1)

public class FINRAOtcTransparencyDataAlgorithm : QCAlgorithm
{
    private Symbol _shortInterest, _weeklySummary, _monthlySummary;

    public override void Initialize()
    {
        SetStartDate(2022, 1, 1);
        SetEndDate(2023, 1, 1);
        SetCash(100000);

        var aapl = AddEquity("AAPL", Resolution.Daily).Symbol;
        _shortInterest = AddData<FINRAShortInterest>(aapl).Symbol;
        _weeklySummary = AddData<FINRAWeeklySummary>(aapl).Symbol;
        _monthlySummary = AddData<FINRAMonthlySummary>(aapl).Symbol;

        var history = History<FINRAShortInterest>(_shortInterest, 30, Resolution.Daily);
        Debug($"We got {history.Count()} items from our history request");
    }

    public override void OnData(Slice slice)
    {
        // Off-exchange volume prints as an activity signal
        foreach (var kvp in slice.Get<FINRAMonthlySummary>())
        {
            Debug($"{kvp.Key} non-ATS monthly shares at {slice.Time}: {kvp.Value.ShareQuantity}");
        }

        foreach (var kvp in slice.Get<FINRAShortInterest>())
        {
            var point = kvp.Value;
            if (point.Change == null)
            {
                continue;
            }

            // Go short when open short interest is building; go long when it is unwinding
            if (point.Change > 0)
            {
                SetHoldings(kvp.Key.Underlying, -1);
            }
            else
            {
                SetHoldings(kvp.Key.Underlying, 1);
            }
        }
    }
}

from AlgorithmImports import *

class FINRAOtcTransparencyFrameworkAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2022, 1, 1)
        self.set_end_date(2023, 1, 1)
        self.set_cash(100000)

        self.universe_settings.resolution = Resolution.DAILY

        symbols = [Symbol.create("AAPL", SecurityType.EQUITY, Market.USA)]
        self.set_universe_selection(ManualUniverseSelectionModel(symbols))

        self.add_alpha(FINRAShortInterestAlphaModel())

        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
        self.set_execution(ImmediateExecutionModel())


class FINRAShortInterestAlphaModel(AlphaModel):

    def __init__(self) -> None:
        self._symbols_by_security = {}

    def update(self, algorithm: QCAlgorithm, data: Slice) -> List[Insight]:
        insights = []
        for security_symbol, short_interest_symbol in self._symbols_by_security.items():
            if short_interest_symbol not in data:
                continue
            change = data[short_interest_symbol].change
            if change is None:
                continue
            # Building short interest is bearish, unwinding short interest is bullish.
            direction = InsightDirection.DOWN if change > 0 else InsightDirection.UP
            insights.append(Insight.price(security_symbol, timedelta(days=14), direction))
        return insights

    def on_securities_changed(self, algorithm: QCAlgorithm, changes: SecurityChanges) -> None:
        for security in changes.added_securities:
            symbol = security.symbol
            short_interest_symbol = algorithm.add_data(FINRAShortInterest, symbol).symbol
            self._symbols_by_security[symbol] = short_interest_symbol
            history = algorithm.history(FINRAShortInterest, short_interest_symbol, 10, Resolution.DAILY)
            algorithm.debug(f"Got {len(history)} historical short interest rows for {symbol}")
        for security in changes.removed_securities:
            short_interest_symbol = self._symbols_by_security.pop(security.symbol, None)
            if short_interest_symbol is not None:
                algorithm.remove_security(short_interest_symbol)

public class FINRAOtcTransparencyFrameworkAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2022, 1, 1);
        SetEndDate(2023, 1, 1);
        SetCash(100000);

        UniverseSettings.Resolution = Resolution.Daily;

        var symbols = new[] { QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA) };
        SetUniverseSelection(new ManualUniverseSelectionModel(symbols));

        AddAlpha(new FINRAShortInterestAlphaModel());

        SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
        SetExecution(new ImmediateExecutionModel());
    }
}

public class FINRAShortInterestAlphaModel : AlphaModel
{
    private readonly Dictionary<Symbol, Symbol> _symbolsBySecurity = new();

    public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
    {
        foreach (var kvp in _symbolsBySecurity)
        {
            var securitySymbol = kvp.Key;
            var shortInterestSymbol = kvp.Value;
            if (!data.ContainsKey(shortInterestSymbol))
            {
                continue;
            }
            var change = data.Get<FINRAShortInterest>(shortInterestSymbol).Change;
            if (change == null)
            {
                continue;
            }
            // Building short interest is bearish, unwinding short interest is bullish.
            var direction = change > 0 ? InsightDirection.Down : InsightDirection.Up;
            yield return Insight.Price(securitySymbol, TimeSpan.FromDays(14), direction);
        }
    }

    public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
    {
        foreach (var security in changes.AddedSecurities)
        {
            var symbol = security.Symbol;
            var shortInterestSymbol = algorithm.AddData<FINRAShortInterest>(symbol).Symbol;
            _symbolsBySecurity[symbol] = shortInterestSymbol;
            var history = algorithm.History<FINRAShortInterest>(shortInterestSymbol, 10, Resolution.Daily);
            algorithm.Debug($"Got {history.Count()} historical short interest rows for {symbol}");
        }
        foreach (var security in changes.RemovedSecurities)
        {
            if (_symbolsBySecurity.Remove(security.Symbol, out var shortInterestSymbol))
            {
                algorithm.RemoveSecurity(shortInterestSymbol);
            }
        }
    }
}