Quiver Quantitative

from AlgorithmImports import *


class QuiverGovernmentContractAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 9, 1)
        self.set_end_date(2024, 12, 31)
        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)

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

    public override void Initialize()
    {
        SetStartDate(2024, 9, 1);
        SetEndDate(2024, 12, 31);
        _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 *


class QuiverGovernmentContractDataAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 9, 1)
        self.set_end_date(2024, 12, 31)
        self.set_cash(100000)
        # Seed the price of each asset with its last known price to avoid trading errors.
        self.set_security_initializer(
            BrokerageModelSecurityInitializer(
                self.brokerage_model, 
                FuncSecuritySeeder(self.get_last_known_prices)
            )
        )
        # 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]:
        if self.last_time > algorithm.time: return []
        
        # 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 not algorithm.securities[data_point.key.underlying].price:
                continue
            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)

        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)

public class QuiverGovernmentContractFrameworkAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 9, 1);
        SetEndDate(2024, 12, 31);
        SetCash(100000);
        // Seed the price of each asset with its last known price to avoid trading errors.
        SetSecurityInitializer(
            new BrokerageModelSecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices))
        );
        // 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
            .Where(kvp => algorithm.Securities[kvp.Key.Underlying].Price != 0)
            .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);
        }
        
        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);
            }
        }
    }
}