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);
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
For more example algorithms, see Examples.
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:
Requesting Data
To add US Government Contracts data to your algorithm, call the AddEquityadd_equity 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 contracts awards over the last month
- Trading securities that have had the biggest change in government contracts awards over the last year
For more example algorithms, see Examples.
You can also see our Videos. You can also get in touch with us via Discord.
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