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FINRAMonthlySummary

QuantConnect.DataSource.FINRAMonthlySummary 

FINRAMonthlySummary()

FINRAMonthlySummary(line: str)

Bases: BaseData

FINRA OTC Transparency Non-ATS Monthly Summary. Monthly non-ATS over-the-counter trading volume by security: the shares and trades executed off-exchange by OTC market makers, outside of dark pools. It complements the weekly ATS feed to cover total off-exchange activity.

Signature descriptions:

  • Default constructor required by LEAN.

  • Parses one CSV line into a data point.

end_time 

end_time: datetime

Publication date of the report, as reported by FINRA for that month. This is when LEAN delivers the data point.

share_quantity 

share_quantity: Optional[float]

Monthly non-ATS OTC shares. This is also the data point's Value.

trade_count 

trade_count: Optional[int]

Monthly non-ATS OTC trade count.

notional 

notional: Optional[float]

Monthly non-ATS OTC dollar volume (notional). Often null before 2019.

REPORT_FOLDER 

REPORT_FOLDER: str

Output subfolder under alternative/finra/ (used by the data processor).

OTC_ENDPOINT 

OTC_ENDPOINT: str

FINRA otcMarket API dataset name (used by the data processor).

OTC_SUMMARY_TYPE_FILTER 

OTC_SUMMARY_TYPE_FILTER: str

Per-symbol total rows, already aggregated, so no summation over firms is needed.

OTC_SYMBOL_FIELD 

OTC_SYMBOL_FIELD: str

JSON field carrying the security ticker (→ output file name).

OTC_DATE_FIELD 

OTC_DATE_FIELD: str

JSON field carrying the observation date (→ Time).

OTC_PUBLISHED_DATE_FIELD 

OTC_PUBLISHED_DATE_FIELD: str

JSON field carrying the actual publication date (→ EndTime).

RAW_FIELDS 

RAW_FIELDS: Sequence[str]

Raw otcMarket JSON fields, in the order the processor writes them after time and endtime (used by the data processor).

symbol 

symbol: Symbol

Symbol representation for underlying Security

data_type 

data_type: MarketDataType

Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.

time 

time: datetime

Current time marker of this data packet.

value 

value: float

Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.

price 

price: float

As this is a backtesting platform we'll provide an alias of value as price.

ALL_RESOLUTIONS 

ALL_RESOLUTIONS: List[Resolution] = ...

A list of all Resolution

This Field is protected.

DAILY_RESOLUTION 

DAILY_RESOLUTION: List[Resolution] = ...

A list of Resolution.DAILY

This Field is protected.

MINUTE_RESOLUTION 

MINUTE_RESOLUTION: List[Resolution] = ...

A list of Resolution.MINUTE

This Field is protected.

HIGH_RESOLUTION 

HIGH_RESOLUTION: List[Resolution] = ...

A list of high Resolution, including minute, second, and tick.

This Field is protected.

OPTION_RESOLUTIONS 

OPTION_RESOLUTIONS: List[Resolution] = ...

A list of resolutions support by Options

This Field is protected.

is_fill_forward 

is_fill_forward: bool

True if this is a fill forward piece of data

clone 

clone() -> BaseData

Creates a copy of the instance.

data_time_zone 

data_time_zone() -> Any

Data time zone (Eastern, the FINRA publication time zone).

default_resolution 

default_resolution() -> Resolution

Default resolution.

get_source 

get_source(
    config: SubscriptionDataConfig,
    date: datetime,
    is_live_mode: bool,
) -> SubscriptionDataSource

Location of the source file: alternative/finra/monthlysummary/{ticker}.csv

is_sparse_data 

is_sparse_data() -> bool

Sparse data: one file per security, so missing-file logs are suppressed.

reader 

reader(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
    is_live_mode: bool,
) -> BaseData

Parses the data from the line provided and loads it into LEAN.

requires_mapping 

requires_mapping() -> bool

Linked to Equities, so renames and delistings are applied via map files.

supported_resolutions 

supported_resolutions() -> List[Resolution]

Supported resolutions (Daily only, the monthly cadence is modeled as Daily).

to_string 

to_string() -> str

String representation for debugging.

deserialize_message 

deserialize_message(serialized: str) -> Sequence[BaseData]

Deserialize the message from the data server

Parameters:

Name Type Description Default
serialized str

The data server's message

 required

Returns:

Type Description
Sequence[BaseData]

An enumerable of base data, if unsuccessful, returns an empty enumerable.

should_cache_to_security 

should_cache_to_security() -> bool

Indicates whether this contains data that should be stored in the security cache

Returns:

Type Description
bool

Whether this contains data that should be stored in the security cache.

update 

update(
    last_trade: float,
    bid_price: float,
    ask_price: float,
    volume: float,
    bid_size: float,
    ask_size: float,
) -> None

Update routine to build a bar/tick from a data update.

Parameters:

Name Type Description Default
last_trade float

The last trade price

 required
bid_price float

Current bid price

 required
ask_price float

Current asking price

 required
volume float

Volume of this trade

 required
bid_size float

The size of the current bid, if available

 required
ask_size float

The size of the current ask, if available

 required

update_ask 

update_ask(ask_price: float, ask_size: float) -> None

Updates this base data with the new quote ask information

Parameters:

Name Type Description Default
ask_price float

The current ask price

 required
ask_size float

The current ask size

 required

update_bid 

update_bid(bid_price: float, bid_size: float) -> None

Updates this base data with the new quote bid information

Parameters:

Name Type Description Default
bid_price float

The current bid price

 required
bid_size float

The current bid size

 required

update_quote 

update_quote(
    bid_price: float,
    bid_size: float,
    ask_price: float,
    ask_size: float,
) -> None

Updates this base data with new quote information

Parameters:

Name Type Description Default
bid_price float

The current bid price

 required
bid_size float

The current bid size

 required
ask_price float

The current ask price

 required
ask_size float

The current ask size

 required

update_trade 

update_trade(last_trade: float, trade_size: float) -> None

Updates this base data with a new trade

Parameters:

Name Type Description Default
last_trade float

The price of the last trade

 required
trade_size float

The quantity traded

 required