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Quiver Quantitative

US Government Contracts

Introduction

The US Government Contracts dataset by Quiver Quantitative tracks the transactions of government contracts with publicly traded companies. The data covers over 700 US Equities, starts in October 2019, and is delivered on a daily frequency. Quiver Quantitative creates this dataset by using the API for USASpending.gov, which has the official open data source of federal spending information. The rows in this dataset only show new contracts, not payments or modifications to existing contracts. The dollar amounts are based on the total dollars obligated from each contract.

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 Government Contracts 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 Government Contracts dataset:

self.aapl = self.add_equity("AAPL", Resolution.DAILY).symbol
self.dataset_symbol = self.add_data(QuiverGovernmentContract, self.aapl).symbol

self._universe = self.add_universe(QuiverGovernmentContractUniverse, self.universe_selection)
_symbol = AddEquity("AAPL", Resolution.Daily).Symbol;
_datasetSymbol = AddData<QuiverGovernmentContract>(_symbol).Symbol;

_universe = AddUniverse<QuiverGovernmentContractUniverse>(UniverseSelection);

Data Summary

The following table describes the dataset properties:

PropertyValue
Start DateOctober 15, 2019
Asset Coverage748 US Equities
Data DensitySparse
ResolutionDaily
TimezoneUTC

Requesting Data

To add US Government Contracts data to your algorithm, call the AddDataadd_data method. Save a reference to the dataset Symbol so you can access the data later in your algorithm.

class QuiverGovernmentContractDataAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2019, 1, 1)
        self.set_end_date(2020, 6, 1)
        self.set_cash(100000)

        symbol = self.add_equity("AAPL", Resolution.DAILY).symbol
        self.dataset_symbol = self.add_data(QuiverGovernmentContract, symbol).symbol
namespace QuantConnect.Algorithm.CSharp.AltData
{
    public class QuiverGovernmentContractDataAlgorithm : QCAlgorithm
    {
        private Symbol _datasetSymbol;

        public override void Initialize()
        {
            SetStartDate(2019, 1, 1);
            SetEndDate(2020, 6, 1);
            SetCash(100000);
            var symbol = AddEquity("AAPL", Resolution.Daily).Symbol;
            _datasetSymbol= AddData<QuiverGovernmentContract>(symbol).Symbol;
        }
    }
}

Accessing Data

To get the current US Government Contract 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 on_data(self, slice: Slice) -> None:
    if slice.contains_key(self.dataset_symbol):
        data_points = slice[self.dataset_symbol]
        for data_point in data_points:
            self.log(f"{self.dataset_symbol} 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} amount at {slice.Time}: {dataPoint.Amount}");
        }
    }
}

To iterate through all of the dataset objects in the current Slice, call the Getget method.

def on_data(self, slice: Slice) -> None:
    for dataset_symbol, data_points in slice.get(QuiverGovernmentContract).items():
        for data_point in data_points:
            self.log(f"{dataset_symbol} amount at {slice.time}: {data_point.amount}")
public override void OnData(Slice slice)
{
    foreach (var kvp in slice.Get<QuiverGovernmentContract>())
    {
        var datasetSymbol = kvp.Key;
        var dataPoints = kvp.Value;
        foreach(var dataPoint in dataPoints)
        {
            Log($"{datasetSymbol} amount at {slice.Time}: {dataPoint.Amount}");
        }
    }
}

Historical Data

To get historical US Government Contracts data, call the Historyhistory 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[QuiverGovernmentContract](self.dataset_symbol, 100, Resolution.DAILY)
var history = History<QuiverGovernmentContract>(_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 Government Contract data, call the AddUniverseadd_universe method with the QuiverGovernmentContractUniverse class and a selection function.

def initialize(self):
    self._universe = self.add_universe(QuiverGovernmentContractUniverse, self.universe_selection)

def universe_selection(self, alt_coase: List[QuiverGovernmentContractUniverse]) -> List[Symbol]:
    gov_contract_data_by_symbol = {}

    for datum in alt_coarse:
        symbol = datum.symbol
        
        if symbol not in gov_contract_data_by_symbol:
            gov_contract_data_by_symbol[symbol] = []
        gov_contract_data_by_symbol[symbol].append(datum)
    
    return [symbol for symbol, d in gov_contract_data_by_symbol.items()
            if len(d) >= 3 and sum([x.amount for x in d]) > 50000]
private Universe _universe;
public override void Initialize()
{
    _universe = AddUniverse<QuiverGovernmentContractUniverse>(altCoarse =>
    {
        var govContractDataBySymbol = new Dictionary<Symbol, List<QuiverGovernmentContractUniverse>>();

        foreach (var datum in altCoarse.OfType<QuiverGovernmentContractUniverse>())
        {
            var symbol = datum.Symbol;

            if (!govContractDataBySymbol.ContainsKey(symbol))
            {
                govContractDataBySymbol.Add(symbol, new List<QuiverGovernmentContractUniverse>());
            }
            govContractDataBySymbol[symbol].Add(datum);
        }

        return from kvp in govContractDataBySymbol
            where kvp.Value.Count >= 3 && kvp.Value.Sum(x => x.Amount) > 50000m
            select kvp.Key;
    });
}

Universe History

You can get historical universe data in an algorithm and in the Research Environment.

Historical Universe Data in Algorithms

To get historical universe data in an algorithm, call the Historyhistory method with the Universe object and the lookback period. If there is no data in the period you request, the history result is empty.

var universeHistory = History(universe, 30, Resolution.Daily);
foreach (var contracts in universeHistory)
{
    foreach (QuiverGovernmentContractUniverse contract in contracts)
    {
        Log($"{contract.Symbol} amount at {contract.EndTime}: {contract.Amount}");
    }
}
# DataFrame example where the columns are the QuiverGovernmentContractUniverse attributes: 
history_df = self.history(self._universe, 30, Resolution.DAILY, flatten=True)

# Series example where the values are lists of QuiverGovernmentContractUniverse objects: 
universe_history = self.history(self._universe, 30, Resolution.DAILY)
for (_, time), contracts in universe_history.items():
    for contract in contracts:
        self.log(f"{contract.symbol} amount at {contract.end_time}: {contract.amount}")

Historical Universe Data in Research

To get historical universe data in research, call the UniverseHistoryuniverse_history method with the Universe object, a start date, and an end date. This method returns the filtered universe. If there is no data in the period you request, the history result is empty.

var universeHistory = qb.UniverseHistory(universe, qb.Time.AddDays(-30), qb.Time);
foreach (var contracts in universeHistory)
{
    foreach (QuiverGovernmentContractUniverse contract in contracts)
    {
        Console.WriteLine($"{contract.Symbol} amount at {contract.EndTime}: {contract.Amount}");
    }
}
# DataFrame example where the columns are the QuiverGovernmentContractUniverse attributes: 
history_df = qb.universe_history(universe, qb.time-timedelta(30), qb.time, flatten=True)

# Series example where the values are lists of QuiverGovernmentContractUniverse objects: 
universe_history = qb.universe_history(universe, qb.time-timedelta(30), qb.time)
for (_, time), contracts in universe_history.items():
    for contract in contracts:
        print(f"{contract.symbol} amount at {contract.end_time}: {contract.amount}")

You can call the Historyhistory method in Research.

Remove Subscriptions

To remove a subscription, call the RemoveSecurityremove_security method.

self.remove_security(self.dataset_symbol)
RemoveSecurity(_datasetSymbol);

If you subscribe to US Government Contracts 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 Quiver Quantitative US Government Contracts dataset enables you to create strategies using the latest information on government contracts activity. Examples include the following strategies:

  • Buying securities that have received the most new government contract awards over the last month
  • Trading securities that have had the biggest change in government contracts awards over the last year

Classic Algorithm Example

The following example algorithm buys Apple stock when they receive a new government contract worth over $50K. If they receive a new contract worth under $10K, the algorithm short sells Apple.

from AlgorithmImports import *
from QuantConnect.DataSource import *

class QuiverGovernmentContractAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2020, 10, 7)   #Set Start Date
        self.set_end_date(2021, 10, 11)    #Set End Date
        self.aapl = self.add_equity("AAPL", Resolution.DAILY).symbol
        # Subscribe to government contract data for AAPL to generate trade signal
        self.dataset_symbol = self.add_data(QuiverGovernmentContract, self.aapl).symbol

        # history request
        history = self.history(self.dataset_symbol, 10, Resolution.DAILY)
        self.debug(f"We got {len(history)} items from historical data request of {self.dataset_symbol}.")

    def on_data(self, slice: Slice) -> None:
        # Trade only base on government contract data
        for gov_contracts in slice.Get(QuiverGovernmentContract).values():
            # Buy if over 50000 government contract amount, suggesting a large income
            if any([gov_contract.amount > 50000 for gov_contract in gov_contracts]):
                self.set_holdings(self.aapl, 1)
            # Sell if below 10000 government contract amount, suggesting a smaller than usual income
            elif any([gov_contract.amount < 10000 for gov_contract in gov_contracts]):
                self.set_holdings(self.aapl, -1)
using QuantConnect.DataSource;

namespace QuantConnect
{
    public class QuiverGovernmentContractAlgorithm : QCAlgorithm
    {
        private Symbol _symbol, _datasetSymbol;

        public override void Initialize()
        {
            SetStartDate(2020, 10, 7);  //Set Start Date
            SetEndDate(2021, 10, 11);    //Set End Date
            _symbol = AddEquity("AAPL").Symbol;
            // Subscribe to government contract data for AAPL to generate trade signal
            _datasetSymbol = AddData<QuiverGovernmentContract>(_symbol).Symbol;

            // history request
            var history = History<QuiverGovernmentContract>(new[] {_datasetSymbol}, 10, Resolution.Daily);
            Debug($"We got {history.Count()} items from historical data request of {_datasetSymbol}.");
        }

        public override void OnData(Slice slice)
        {
            // Trade only base on government contract data
            foreach (var kvp in slice.Get<QuiverGovernmentContract>())
            {
                // Buy if over 50000 government contract amount, suggesting a large income
                if (kvp.Value.Any(x => (int) (x as QuiverGovernmentContract).Amount > 50000m))
                {
                    SetHoldings(_symbol, 1);
                }
                // Sell if below 10000 government contract amount, suggesting a smaller than usual income
                else if (kvp.Value.Any(x => (int) (x as QuiverGovernmentContract).Amount < 10000m))
                {
                    SetHoldings(_symbol, -1);
                }
            }
        }
    }
}

Framework Algorithm Example

The following example algorithm creates a dynamic universe of US Equities that have just received a government contract worth at least $5K. Each day, it then forms an equal-weighted dollar-neutral portfolio with the 10 companies that received the largest contracts and the 10 companies that received the smallest contracts.

from AlgorithmImports import *
from QuantConnect.DataSource import *

class QuiverGovernmentContractDataAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2019, 1, 1)
        self.set_end_date(2020, 1, 1)
        self.set_cash(100000)
        
        self.universe_settings.resolution = Resolution.MINUTE
        # Filter universe using government contract data
        self.add_universe(QuiverGovernmentContractUniverse, self.universe_selection)

        # Custom alpha model that emit insights based on updated government contract data
        self.add_alpha(QuiverGovernmentContractAlphaModel())
        
        # Invest equally to evenly dissipate the capital concentration risk
        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
        
        self.set_execution(ImmediateExecutionModel())
        
    def universe_selection(self, data: List[QuiverGovernmentContractUniverse]) -> List[Symbol]:
        gov_contract_data_by_symbol = {}

        for datum in data:
            symbol = datum.symbol
            
            if symbol not in gov_contract_data_by_symbol:
                gov_contract_data_by_symbol[symbol] = []
            gov_contract_data_by_symbol[symbol].append(datum)
        
        # Only select the stocks with over 5000 government contracts, which is considered material information
        return [symbol for symbol, d in gov_contract_data_by_symbol.items()
                if sum([x.amount for x in d]) > 5000]
        
class QuiverGovernmentContractAlphaModel(AlphaModel):
    
    def __init__(self) -> None:
        # A variable to control the rebalancing time
        self.last_time = datetime.min
        # To hold the government contract dataset symbol for managing subscription
        self.dataset_symbol_by_symbol = {}
        
    def update(self, algorithm: QCAlgorithm, slice: Slice) -> List[Insight]:
        try:
            if self.last_time > algorithm.time: return []
        except:
            self.Log("")
        
        # Trade signal only based on government contract data
        data_points = slice.Get(QuiverGovernmentContract)
        
        if not data_points: return []
        
        gov_contracts = {}
        # To aggregate all data per symbol for analysis
        for data_point in data_points:
            if data_point.Key not in gov_contracts:
                gov_contracts[data_point.Key] = 0

            for gov_contract in data_point.Value:
                gov_contracts[data_point.Key] += gov_contract.amount
        
        # Long the top 10 highest government contract amount, predicting a higher expected income and return
        # Short the lowest 10 government contract amount, predicting a lower expected income and return
        sorted_by_gov_contracts = sorted(gov_contracts.items(), key=lambda x: x[1])
        long_symbols = [x[0].underlying for x in sorted_by_gov_contracts[-10:]]
        short_symbols = [x[0].underlying for x in sorted_by_gov_contracts[:10]]
        
        insights = []
        for symbol in long_symbols:
            insights.append(Insight.price(symbol, Expiry.END_OF_DAY, InsightDirection.UP))        
        for symbol in short_symbols:
            insights.append(Insight.price(symbol, Expiry.END_OF_DAY, InsightDirection.DOWN))
        
        self.last_time = Expiry.END_OF_DAY(algorithm.Time)
        
        return insights
        
    def on_securities_changed(self, algorithm: QCAlgorithm, changes: SecurityChanges) -> None:
        for security in changes.added_securities:
            # Requesting government contract data for trade signal generation
            symbol = security.symbol
            dataset_symbol = algorithm.add_data(QuiverGovernmentContract, symbol).symbol
            self.dataset_symbol_by_symbol[symbol] = dataset_symbol
            
            # Historical Data
            history = algorithm.history(dataset_symbol, 10, Resolution.DAILY)
            algorithm.debug(f"We got {len(history)} items from our history request on {dataset_symbol}.")

        for security in changes.removed_securities:
            dataset_symbol = self.dataset_symbol_by_symbol.pop(security.symbol, None)
            if dataset_symbol:
                # Remove government contract data subscription to release computation resources
                algorithm.remove_security(dataset_symbol)
using QuantConnect.DataSource;

namespace QuantConnect
{
    public class QuiverGovernmentContractFrameworkAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2021, 1, 1);
            SetEndDate(2021, 7, 1);
            SetCash(100000);
            
            UniverseSettings.Resolution = Resolution.Minute;
            // Filter universe using government contract data
            AddUniverse<QuiverGovernmentContractUniverse>(data =>
            {
                var govContractDataBySymbol = new Dictionary<Symbol, List<QuiverGovernmentContractUniverse>>();

                foreach (var datum in data.OfType<QuiverGovernmentContractUniverse>())
                {
                    var symbol = datum.Symbol;

                    if (!govContractDataBySymbol.ContainsKey(symbol))
                    {
                        govContractDataBySymbol.Add(symbol, new List<QuiverGovernmentContractUniverse>());
                    }
                    govContractDataBySymbol[symbol].Add(datum);
                }

                // Only select the stocks with over 5000 government contracts, which is considered material information
                return from kvp in govContractDataBySymbol
                    where kvp.Value.Sum(x => x.Amount) > 5000m
                    select kvp.Key;
            });

            // Custom alpha model that emit insights based on updated government contract data
            AddAlpha(new QuiverGovernmentContractAlphaModel());

            // Invest equally to evenly dissipate the capital concentration risk
            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
            
            SetExecution(new ImmediateExecutionModel());
        }
    }
    
    public class QuiverGovernmentContractAlphaModel: AlphaModel
    {
        // A variable to control the rebalancing time
        private DateTime _time;
        // To hold the government contract dataset symbol for managing subscription
        private Dictionary<Symbol, Symbol> _datasetSymbolBySymbol = new();
        
        public QuiverGovernmentContractAlphaModel()
        {
            _time = DateTime.MinValue;
        }
        
        public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice slice)
        {
            if (_time > algorithm.Time) return new List<Insight>();
            
            // Trade signal only based on government contract data
            var dataPoints = slice.Get<QuiverGovernmentContract>();
            
            if (dataPoints.IsNullOrEmpty()) return new List<Insight>();

            // To aggregate all data per symbol for analysis
            var govContracts = dataPoints.ToDictionary(kvp => kvp.Key, kvp => kvp.Value.Sum(x => ((QuiverGovernmentContract)x).Amount));
            
            // Long the top 10 highest government contract amount, predicting a higher expected income and return
            // Short the lowest 10 government contract amount, predicting a lower expected income and return
            var sortedByGovContract = from kvp in govContracts
                            orderby kvp.Value descending
                            select kvp.Key.Underlying;
            var longSymbols = sortedByGovContract.Take(10).ToList();
            var shortSymbols = sortedByGovContract.TakeLast(10).ToList();
            
            var insights = new List<Insight>();
            insights.AddRange(longSymbols.Select(symbol => 
                new Insight(symbol, Expiry.EndOfDay, InsightType.Price, InsightDirection.Up)));
            insights.AddRange(shortSymbols.Select(symbol => 
                new Insight(symbol, Expiry.EndOfDay, InsightType.Price, InsightDirection.Down)));
            
            _time = Expiry.EndOfDay(algorithm.Time);
            
            return insights;
        }
        
        public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
        {
            foreach (var security in changes.AddedSecurities)
            {
                // Requesting government contract data for trade signal generation
                var symbol = security.Symbol;
                var datasetSymbol = algorithm.AddData<QuiverGovernmentContract>(symbol).Symbol;
                _datasetSymbolBySymbol.Add(symbol, datasetSymbol);

                // History request
                var history = algorithm.History<QuiverGovernmentContract>(datasetSymbol, 10, Resolution.Daily);
                algorithm.Debug($"We get {history.Count()} items in historical data of {datasetSymbol}");
            }
            
            foreach (var security in changes.RemovedSecurities)
            {
                var symbol = security.Symbol;
                if (_datasetSymbolBySymbol.ContainsKey(symbol))
                {
                    // Remove government contract data subscription to release computation resources
                    _datasetSymbolBySymbol.Remove(symbol, out var datasetSymbol);
                    algorithm.RemoveSecurity(datasetSymbol);
                }
            }
        }
    }
}

Research Example

The following example lists all US Equities with Government contracts in the past year.

#r "../QuantConnect.DataSource.QuiverGovernmentContracts.dll"
using QuantConnect.DataSource;

// Requesting data
var aapl = qb.AddEquity("AAPL", Resolution.Daily).Symbol;
var symbol = qb.AddData<QuiverGovernmentContract>(aapl).Symbol;

// Historical data
var history = qb.History<QuiverGovernmentContract>(symbol, 360, Resolution.Daily);
foreach (var contracts in history)
{
    foreach (QuiverGovernmentContract contract in contracts)
    {
        Console.WriteLine($"{contract.Symbol} amount at {contract.EndTime}: {contract.Amount}");
    }
}

// Add Universe Selection
IEnumerable<Symbol> UniverseSelection(IEnumerable<BaseData> altCoarse)
{
    return from d in altCoarse.OfType<QuiverGovernmentContractUniverse>()
        select d.Symbol;
}
var universe = qb.AddUniverse<QuiverGovernmentContractUniverse<(UniverseSelection);

// Historical Universe data
var universeHistory = qb.UniverseHistory(universe, qb.Time.AddDays(-360), qb.Time);
foreach (var contracts in universeHistory)
{
    foreach (QuiverGovernmentContractUniverse contract in contracts)
    {
        Console.WriteLine($"{contract.Symbol} amount at {contract.EndTime}: {contract.Amount}");
    }
}
qb = QuantBook()

# Requesting Data
aapl = qb.add_equity("AAPL", Resolution.DAILY).symbol
symbol = qb.add_data(QuiverGovernmentContract, aapl).symbol

# Historical data
history = qb.history(QuiverGovernmentContract, symbol, 360, Resolution.DAILY)
for (symbol, time), contracts in history.items():
    for contract in contracts:
        print(f"{contract.symbol} amount at {contract.end_time}: {contract.amount}")

# Add Universe Selection
def universe_selection(alt_coarse: List[QuiverGovernmentContractUniverse]) -> List[Symbol]:
    return [d.symbol for d in alt_coarse]

universe = qb.add_universe(QuiverGovernmentContractUniverse, universe_selection)
        
# Historical Universe data
universe_history = qb.universe_history(universe, qb.time-timedelta(360), qb.time)
for (_, time), contracts in universe_history.items():
    for contract in contracts:
        print(f"{contract.symbol} amount at {contract.end_time}: {contract.amount}")

Data Point Attributes

The US Government Contracts dataset provides QuiverGovernmentContract and QuiverGovernmentContractUniverse objects.

QuiverGovernmentContract

QuiverGovernmentContract objects have the following attributes:

QuiverGovernmentContractUniverse

QuiverGovernmentContractUniverse objects have the following attributes:

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