QuantConnect

US Equity Security Master

Introduction

The US Equity Security Master dataset by QuantConnect tracks US Equity corporate actions, including splits, dividends, delistings, mergers, and ticker changes through history. The data covers approximately 27,500 US Equities, starts in January 1998, and is delivered on a daily update frequency. You can easily download and install the dataset with the LEAN CLI so it's ready to use by LEAN. LEAN automatically handles all corporate actions and passes them into your algorithm as events.

For more information about the US Equity Security Master dataset, including CLI commands and pricing, see the dataset listing.

About the Provider

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.

Data Summary

Data is delivered as a daily updated zip archive of map and factor files. The data is designed to be used in the LEAN Engine and cannot be consumed another way. The following table shows the dataset properties:

PropertyValue
Start DateJanuary 1998
Data PointsSplits, Dividends, Mergers, IPO, & Delistings
Asset Coverage27,500 US Equities
ResolutionDaily
TimezoneNew York

Getting Started

You don't need any special code to utilize the US Equity Security Master. It automatically loads when you request US Equities data.

Data Point Attributes

The US Equity Security Master dataset provides Split, Dividend, Delisting, and SymbolChangedEvent objects.

Split Attributes

When a split or merger occurs, we pass the previous Symbol data into your algorithm. Split objects have the following attributes:

Dividend Attributes

Dividend events are triggered on the payment date. Dividend objects have the following attributes:

Delisting Attributes

When a security is delisted, we notify your algorithm. Delisting objects have the following attributes:

SymbolChangedEvent Attributes

When a security changes their ticker, we notify your algorithm. SymbolChangedEvent objects have the following attributes:

Supported Assets

To view the supported assets in the US Equity Security Master dataset, see the Data Explorer.

Accessing Splits

To get the current split data, index the Splits property of the current Slice with the Equity Symbol. Slice objects deliver unique events to your algorithm as they happen, but the Slice may not contain data for your security at every time step. To avoid issues, check if the Slice contains the data you want before you index it.

def on_data(self, slice: Slice) -> None:
    if slice.splits.contains_key(self.symbol):
        split = slice.splits[self.symbol]
        split_type = {0: "Warning", 1: "SplitOccurred"}.get(split.type)
        self.log(f"Split: {split.symbol}\t{split.split_factor}\t{split.reference_price}\t{split_type}")
public override void OnData(Slice slice)
{
    if (slice.Splits.ContainsKey(_symbol))
    {
        var split = slice.Splits[_symbol];
        Log($"Split: {split.Symbol}\t{split.SplitFactor}\t{split.ReferencePrice}\t{split.Type}");
    }
}

For more information about accessing splits, see Splits.

Accessing Dividends

To get the current dividend data, index the Dividends property of the current Slice with the Equity Symbol. Slice objects deliver unique events to your algorithm as they happen, but the Slice may not contain data for your security at every time step. To avoid issues, check if the Slice contains the data you want before you index it.

def on_data(self, slice: Slice) -> None:
    if slice.dividends.contains_key(self.symbol):
        dividend = slice.dividends[self.symbol]
        self.log(f'Dividend: {dividend.symbol}\t{dividend.distribution}\t{dividend.reference_price}')
public override void OnData(Slice slice)
{
    if (slice.Dividends.ContainsKey(_symbol))
    {
        var dividend = slice.Dividends[_symbol];
        Log($"Dividend: {dividend.Symbol}\t{dividend.Distribution}\t{dividend.ReferencePrice}");
    }
}

For more information about accessing dividends, see Dividends.

Accessing Delistings

To get the current Delistings data, index the Delistings property of the current Slice with the Equity Symbol. Slice objects deliver unique events to your algorithm as they happen, but the Slice may not contain data for your security at every time step. To avoid issues, check if the Slice contains the data you want before you index it.

def on_data(self, slice: Slice) -> None:
    if slice.delistings.contains_key(self.symbol):
        delisting = slice.delistings[self.symbol]
        delisting_type = {0: "Warning", 1: "Delisted"}.get(delisting.type)
        self.log(f'Delistings: {delisting_type}')
public override void OnData(Slice slice)
{
    if (slice.Delistings.ContainsKey(_symbol))
    {
        var delisting = slice.Delistings[_symbol];
        Log($"Delistings: {delisting.Type}");
    }
}

For more information about accessing delistings, see Delistings.

Accessing Symbol Change Events

To get the current Symbol change events, index the SymbolChangedEvents property of the current Slice with the Equity Symbol. Slice objects deliver unique events to your algorithm as they happen, but the Slice may not contain data for your security at every time step. To avoid issues, check if the Slice contains the data you want before you index it.

def on_data(self, slice: Slice) -> None:
    if slice.symbol_changed_events.contains_key(self.symbol):
        symbol_changed_event = slice.symbol_changed_events[self.symbol]
        self.log(f"Symbol changed: {symbol_changed_event.old_symbol} -> {symbol_changed_event.new_symbol}")
public override void OnData(Slice slice){
    if (slice.SymbolChangedEvents.ContainsKey(_symbol))
    {
        var symbolChangedEvent = slice.SymbolChangedEvents[_symbol];
        Log($"Symbol changed: {symbolChangedEvent.OldSymbol} -> {symbolChangedEvent.NewSymbol}");
    }
}

For more information about accessing Symbol change events, see Symbol Changes.

Live Trading Considerations

In backtesting, corporate actions occurs at midnight (ET). In live trading, the live data for corporate actions arrives at 6/7 AM ET, so that's when they occur.

Example Applications

The US Security Master enables you to accurately design strategies harnessing any core corporate actions. Examples include the following strategies:

  • Post-dividend announcement trading strategies.
  • Trading on new Equities by monitoring for IPOs.
  • Harnessing split announcements for reverse-split announcement momentum.

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