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.symbol = self.AddEquity("AAPL", Resolution.Daily).Symbol
self.dataset_symbol = self.AddData(QuiverGovernmentContracts, self.symbol).Symbol
_symbol = AddEquity("AAPL", Resolution.Daily).Symbol;
_datasetSymbol = AddData<QuiverGovernmentContracts>(_symbol).Symbol;

Data Summary

The following table describes the dataset properties:

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

Data Point Attributes

The US Government Contracts dataset provides QuiverGovernmentContracts, QuiverGovernmentContract, and QuiverGovernmentContractUniverse objects.

QuiverGovernmentContracts

QuiverGovernmentContracts objects have the following attributes:

QuiverGovernmentContract

QuiverGovernmentContract objects have the following attributes:

QuiverGovernmentContractUniverse

QuiverGovernmentContractUniverse objects have the following attributes:

Requesting Data

To add US Government Contracts 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 QuiverGovernmentContractsDataAlgorithm(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(QuiverGovernmentContracts, self.symbol).Symbol
namespace QuantConnect.Algorithm.CSharp.AltData
{
    public class QuiverGovernmentContractsDataAlgorithm : 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<QuiverGovernmentContracts>(_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 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} 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 Get method.

def OnData(self, slice: Slice) -> None:
    for dataset_symbol, data_points in slice.Get(QuiverGovernmentContracts).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<QuiverGovernmentContracts>())
    {
        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 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[QuiverGovernmentContracts](self.dataset_symbol, 100, Resolution.Daily)
var history = History<QuiverGovernmentContracts>(_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 AddUniverse method with the QuiverGovernmentContractUniverse class and a selection function.

self.AddUniverse(QuiverGovernmentContractUniverse, "QuiverGovernmentContractUniverse", Resolution.Daily, self.UniverseSelection)

def UniverseSelection(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]
AddUniverse<QuiverGovernmentContractUniverse>("QuiverGovernmentContractUniverse", Resolution.Daily, altCoarse =>
{
    var govContractDataBySymbol = new Dictionary<Symbol, List<QuiverGovernmentContractUniverse>>();

    foreach (var datum in altCoarse)
    {
        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;
});

Remove Subscriptions

To remove a subscription, call the RemoveSecurity method.

self.RemoveSecurity(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 contracts awards over the last month
  • Trading securities that have had the biggest change in government contracts awards over the last year

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