Quiver Quantitative

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);
                }
            }
        }
    }
}

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);
                }
            }
        }
    }
}