Quiver Quantitative

WallStreetBets

Introduction

The WallStreetBets dataset by Quiver Quantitative tracks daily mentions of different equities on Reddit’s popular WallStreetBets forum. The data covers 6,000 Equities, starts in August 2018, and is delivered on a daily frequency. The dataset is created by scraping the daily discussion threads on r/WallStreetBets and parsing the comments for ticker mentions.

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 WallStreetBets 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 WallStreetBets dataset:

from QuantConnect.DataSource import *

self.symbol = self.AddEquity("AAPL", Resolution.Daily).Symbol
self.dataset_symbol = self.AddData(QuiverWallStreetBets, self.symbol).Symbol

self.AddUniverse(QuiverWallStreetBetsUniverse, "QuiverWallStreetBetsUniverse", Resolution.Daily, self.UniverseSelection)
using QuantConnect.DataSource;

_symbol = AddEquity("AAPL", Resolution.Daily).Symbol;
_datasetSymbol = AddData<QuiverWallStreetBets>(_symbol).Symbol;

AddUniverse<QuiverWallStreetBetsUniverse>("QuiverWallStreetBetsUniverse", Resolution.Daily, UniverseSelection);

Data Summary

The following table describes the dataset properties:

PropertyValue
Start DateAugust 2018
Asset Coverage6,000 US Equities
Data DensitySparse
ResolutionDaily
TimezoneUTC

Data Point Attributes

The WallStreetBets dataset provides QuiverWallStreetBets and QuiverWallStreetBetsUniverse objects.

QuiverWallStreetBets Attributes

QuiverWallStreetBets objects have the following attributes:

QuiverWallStreetBetsUniverse Attributes

QuiverWallStreetBetsUniverse objects have the following attributes:

Requesting Data

To add WallStreetBets 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 QuiverWallStreetBetsDataAlgorithm(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(QuiverWallStreetBets, self.symbol).Symbol
namespace QuantConnect
{
    public class QuiverWallStreetBetsDataAlgorithm : 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<QuiverWallStreetBets>(_symbol).Symbol;
        }
    }
}

Accessing Data

To get the current WallStreetBets 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_point = slice[self.dataset_symbol]
        self.Log(f"{self.dataset_symbol} mentions at {slice.Time}: {data_point.Mentions}")
public override void OnData(Slice slice)
{
    if (slice.ContainsKey(_datasetSymbol))
    {
        var dataPoint = slice[_datasetSymbol];
        Log($"{_datasetSymbol} mentions at {slice.Time}: {dataPoint.Mentions}");
    }
}

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(QuiverWallStreetBets).items():
        self.Log(f"{dataset_symbol} mentions at {slice.Time}: {data_point.Mentions}")

public override void OnData(Slice slice)
{
    foreach (var kvp in slice.Get<QuiverWallStreetBets>())
    {
        var datasetSymbol = kvp.Key;
        var dataPoint = kvp.Value;
        Log($"{datasetSymbol} mentions at {slice.Time}: {dataPoint.Mentions}");
    }
}

Historical Data

To get historical WallStreetBets 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[QuiverWallStreetBets](self.dataset_symbol, 100, Resolution.Daily)
var history = History<QuiverWallStreetBets>(_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 WallStreetBets data, call the AddUniverse method with the QuiverWallStreetBetsUniverse class and a selection function.

def Initialize(self) -> None:
    self.AddUniverse(QuiverWallStreetBetsUniverse, "QuiverWallStreetBetsUniverse", Resolution.Daily, self.UniverseSelection)
        
def UniverseSelection(self, alt_coarse: List[QuiverWallStreetBetsUniverse]) -> List[Symbol]:
    return [d.Symbol for d in alt_coarse \
                if d.Mentions > 100 \
                and d.Rank < 100]
public override void Initialize()
{
    AddUniverse("QuiverWallStreetBetsUniverse", Resolution.Daily, altCoarse =>
    {
        return from d in altCoarse
            where d.Mentions > 10 && d.Rank > 10
            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 WallStreetBets 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 WallStreetBets dataset enables you to create strategies using the latest activity on the WallStreetBets daily discussion thread. Examples include the following strategies:

  • Trading any security that is being mentioned
  • Trading securities that are receiving more/less mentions than they were previously
  • Trading the security that is being mentioned the most/least for the day

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