Quiver Quantitative
US Congress Trading
Introduction
The US Congress Trading dataset by Quiver Quantitative tracks US Equity trades made by members of Congress in the Senate and the House of Representatives. The data covers 1,800 US Equities, starts in January 2016, and is delivered on a daily frequency. This dataset is created by scraping SEC reports.
This dataset depends on the US Equity Security Master dataset because the US Equity Security Master dataset contains information on splits, dividends, and symbol changes.
For more information about the US Congress Trading dataset, including CLI commands and pricing, see the dataset listing.
About the Provider
Quiver Quantitative was founded by two college students in February 2020 with the goal of bridging the information gap between Wall Street and non-professional investors. Quiver allows retail investors to tap into the power of big data and have access to actionable, easy to interpret data that hasn’t already been dissected by Wall Street.
Getting Started
The following snippet demonstrates how to request data from the US Congress Trading dataset:
from QuantConnect.DataSource import *
self.symbol = self.AddEquity("AAPL", Resolution.Daily).Symbol
self.dataset_symbol = self.AddData(QuiverCongress, self.symbol).Symbol
self.AddUniverse(QuiverQuantCongressUniverse, "QuiverQuantCongresssUniverse", Resolution.Daily, self.UniverseSelection) using QuantConnect.DataSource;
_symbol = AddEquity("AAPL", Resolution.Daily).Symbol;
_datasetSymbol = AddData<QuiverCongress>(_symbol).Symbol;
AddUniverse<QuiverQuantCongresssUniverse>("QuiverQuantCongresssUniverse", Resolution.Daily, UniverseSelection);
Data Point Attributes
The US Congress Trading dataset provides QuiverCongress and QuiverQuantCongressUniverse objects.
QuiverCongress Attributes
QuiverCongress object has the following attributes:
QuiverQuantCongressUniverse Attributes
QuiverQuantCongressUniverse object has the following attributes:
Requesting Data
To add US Congress Trading data to your algorithm, call the AddData method. Save a reference to the dataset Symbol so you can access the data later in your algorithm.
class QuiverCongressDataAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.SetStartDate(2019, 1, 1)
self.SetEndDate(2020, 6, 1)
self.SetCash(100000)
self.symbol = self.AddEquity("AAPL", Resolution.Daily).Symbol
self.dataset_symbol = self.AddData(QuiverCongress, self.symbol).Symbol namespace QuantConnect
{
public class QuiverCongressDataAlgorithm : QCAlgorithm
{
private Symbol _symbol, _datasetSymbol;
public override void Initialize()
{
SetStartDate(2019, 1, 1);
SetEndDate(2020, 6, 1);
SetCash(100000);
_symbol = AddEquity("AAPL", Resolution.Daily).Symbol;
_datasetSymbol = AddData<QuiverCongress>(_symbol).Symbol;
}
}
}
Accessing Data
To get the current US Congress Trading data, index the current Slice with the dataset Symbol. Slice objects deliver unique events to your algorithm as they happen, but the Slice may not contain data for your dataset at every time step. To avoid issues, check if the Slice contains the data you want before you index it.
def OnData(self, slice: Slice) -> None:
if slice.ContainsKey(self.dataset_symbol):
data_points = slice[self.dataset_symbol]
for data_point in data_points:
self.Log(f"{self.dataset_symbol} transaction amount at {slice.Time}: {data_point.Amount}") public override void OnData(Slice slice)
{
if (slice.ContainsKey(_datasetSymbol))
{
var dataPoints = slice[_datasetSymbol];
foreach (var dataPoint in dataPoints)
{
Log($"{_datasetSymbol} transaction amount at {slice.Time}: {dataPoint.Amount}");
}
}
}
To iterate through all of the dataset objects in the current Slice, call the Get method.
def OnData(self, slice: Slice) -> None:
for dataset_symbol, data_point in slice.Get(QuiverCongress).items():
self.Log(f"{dataset_symbol} transaction amount at {slice.Time}: {data_point.Amount}")
public override void OnData(Slice slice)
{
foreach (var kvp in slice.Get<QuiverCongress>())
{
var datasetSymbol = kvp.Key;
var dataPoint = kvp.Value;
Log($"{datasetSymbol} transaction amount at {slice.Time}: {dataPoint.Amount}");
}
}
Historical Data
To get historical US Congress Trading data, call the History method with the dataset Symbol. If there is no data in the period you request, the history result is empty.
# DataFrame history_df = self.History(self.dataset_symbol, 100, Resolution.Daily) # Dataset objects history_bars = self.History[QuiverCongress](self.dataset_symbol, 100, Resolution.Daily)
var history = History<QuiverCongress>(_datasetSymbol, 100, Resolution.Daily);
For more information about historical data, see History Requests.
Universe Selection
To select a dynamic universe of US Equities based on US Congress Trading data, call the AddUniverse method with the QuiverQuantCongressUniverse class and a selection function.
def Initialize(self) -> None:
self.AddUniverse(QuiverQuantCongressUniverse, "QuiverQuantCongresssUniverse", Resolution.Daily, self.UniverseSelection)
def UniverseSelection(self, alt_coarse: List[QuiverQuantCongresssUniverse]) -> List[Symbol]:
return [d.Symbol for d in alt_coarse \
if d.Amount > 200000 and d.Transaction == OrderDirection.Buy]
AddUniverse<QuiverQuantCongresssUniverse>("QuiverQuantCongresssUniverse", Resolution.Daily, altCoarse =>
{
return from d in altCoarse
where d.Amount > 200000 && d.Transaction == OrderDirection.Buy
select d.Symbol;
});
For more information about dynamic universes, see Universes.
Remove Subscriptions
To remove a subscription, call the RemoveSecurity method.
self.RemoveSecurity(self.dataset_symbol)
RemoveSecurity(_datasetSymbol);
If you subscribe to US Congress Trading data for assets in a dynamic universe, remove the dataset subscription when the asset leaves your universe. To view a common design pattern, see Track Security Changes.
Example Applications
The US Congress Trading dataset enables you to take immediate action on trades made by informed Members of Congress. Examples include the following strategies:
- Following the trades of specific representatives on the premise that the representatives are more informed
- Assigning a long/short-bias to securities on a daily frequency based on how Members of Congress are trading them
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