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.

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:

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

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.

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:

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

To get the current split data, index the Splitssplits 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.

To get the current dividend data, index the Dividendsdividends 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.

To get the current Delistings data, index the Delistingsdelistings 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.

To get the current Symbol change events, index the SymbolChangedEventssymbol_changed_events 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.

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.

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.