FINRAWeeklySummary

QuantConnect.DataSource.FINRAWeeklySummary

FINRAWeeklySummary()

FINRAWeeklySummary(line: str)

Bases: BaseData

FINRA OTC Transparency ATS Weekly Summary (dark-pool volume). Weekly ATS (alternative trading system) trading volume by security: shares, trade count, and notional traded on ATS venues. The processor sums the per-firm rows (ATS_W_SMBL_FIRM) over all MPIDs to a per-security total.

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 week. This is when LEAN delivers the data point.

share_quantity

share_quantity: Optional[float]

Weekly shares traded on ATS venues. This is also the data point's Value.

trade_count

trade_count: Optional[int]

Weekly ATS trade count.

notional

notional: Optional[float]

Weekly ATS dollar volume (notional).

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 per-firm rows, which the processor sums over MPIDs for each security.

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/weeklysummary/{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 weekly 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