FINRAShortInterestUniverse

QuantConnect.DataSource.FINRAShortInterestUniverse

FINRAShortInterestUniverse(
    time: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract, Security],
    data: List[BaseData] = None,
)

FINRAShortInterestUniverse(
    time: Union[datetime, date],
    end_time: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract, Security],
    data: List[BaseData] = None,
    underlying: BaseData = None,
    filtered_contracts: HashSet[Symbol] = None,
)

FINRAShortInterestUniverse(
    time: Union[datetime, date],
    end_time: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract, Security],
    data: List[BaseData],
    underlying: BaseData,
    filtered_contracts: HashSet[Symbol],
)

FINRAShortInterestUniverse(
    time: Union[datetime, date],
    end_time: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract, Security],
    underlying: BaseData,
    filtered_contracts: HashSet[Symbol],
)

FINRAShortInterestUniverse()

FINRAShortInterestUniverse(other: BaseDataCollection)

Bases: BaseDataCollection

Universe selection data for the FINRA Consolidated Short Interest dataset. One record per security per report, enabling ranking/filtering the market by short interest or days-to-cover.

Signature descriptions:

• Initializes a new instance of the BaseDataCollection class

• Helper method to create an instance without setting the data list

• Initializes a new default instance of the BaseDataCollection c;ass

• Copy constructor for BaseDataCollection

Parameters:

Name	Type	Description	Default
time	Optional[Union[datetime, date]]	The time of this data	None
symbol	Optional[Union[Symbol, str, BaseContract, Security]]	A common identifier for all data in this packet	None
data	Optional[List[BaseData]]	The data to add to this collection	None
end_time	Optional[Union[datetime, date]]	The end time of this data	None
underlying	Optional[BaseData]	The associated underlying price data if any	None
filtered_contracts	Optional[HashSet[Symbol]]	The contracts selected by the universe	None
other	Optional[BaseDataCollection]	The base data collection being copied	None

short_interest

short_interest: Optional[float]

Shares held short as of the settlement date. This is also the data point's Value.

previous_short_interest

previous_short_interest: Optional[float]

Shares held short in the prior report.

average_daily_volume

average_daily_volume: Optional[float]

Average daily volume (denominator for days-to-cover).

days_to_cover

days_to_cover: Optional[float]

Days-to-cover, the short interest divided by the average daily volume.

change

change: Optional[float]

Change in short interest against the previous report.

end_time

end_time: datetime

The time the data point ends and becomes available to the algorithm.

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

underlying

underlying: BaseData

The associated underlying price data if any

filtered_contracts

filtered_contracts: HashSet[Symbol]

Gets or sets the contracts selected by the universe

data

data: List[BaseData]

Gets the data list

clone

clone() -> BaseData

Creates a copy of the instance.

data_time_zone

data_time_zone() -> Any

Data time zone (Eastern, the FINRA reporting 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 universe file: alternative/finra/shortinterest/universe/{yyyyMMdd}.csv

is_sparse_data

is_sparse_data() -> bool

Sparse: universe files exist only on report publication dates.

reader

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

Parses one universe CSV line into a data point.

supported_resolutions

supported_resolutions() -> List[Resolution]

Supported resolutions (Daily only).

to_string

to_string() -> str

String representation for debugging.

requires_mapping

requires_mapping() -> bool

Indicates if there is support for mapping

Returns:

Type	Description
bool	True indicates mapping should be used.

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

__iter__

__iter__() -> Iterator[BaseData]

add

add(new_data_point: BaseData) -> None

Adds a new data point to this collection

Parameters:

Name	Type	Description	Default
new_data_point	BaseData	The new data point to add	required

add_range

add_range(new_data_points: List[BaseData]) -> None

Adds a new data points to this collection

Parameters:

Name	Type	Description	Default
new_data_points	List[BaseData]	The new data points to add	required

get_enumerator

get_enumerator() -> IEnumerator[BaseData]

Returns an IEnumerator for this enumerable Object. The enumerator provides a simple way to access all the contents of a collection.

universe_symbol

universe_symbol(market: str = None) -> Symbol

Creates the universe symbol for the target market

Returns:

Type	Description
Symbol	The universe symbol to use.