SEC13FHolding
SEC13FHolding()
Bases: BaseData
One position as a single institutional manager reported it on a single SEC Form 13F submission. Managers exercising discretion over at least 100 million dollars must file a Form 13F within 45 days of quarter end, listing the covered securities they hold.
Nothing here is summed or otherwise derived: every field is the value the SEC publishes for that line of that filing's information table. A manager that reports the same security on two lines, which the rules allow when the discretion differs, produces two records, and they are left apart. Holder counts, quarter-over-quarter change and concentration are all derivable from the records of a day and are left to the algorithm.
This is the factory that reads one line. The points an algorithm receives are SEC13FHoldings, the collection of every record a security carries for one filing date.
Creates a new default instance.
FILING_DATE_FORMAT: str = 'yyyyMMdd'
Format of the filing date column, which is also the name of the file.
accession_number: str
EDGAR accession number of the submission this line was reported on, such as 0001067983-26-000012. It identifies the filing on the SEC's own site and is what groups the records of one submission back together.
manager_cik: int
Central Index Key of the manager that filed the submission. It is the stable identity of a fund across name changes, which is why it, and not the name, is carried on every line of the files. The names live once in managers.csv beside the dataset.
manager_name: str
Name of the manager as its most recent cover page states it, read from managers.csv, with any comma taken out because that file is split on every one. It is the current name even on an old filing, and null for a CIK the file does not carry.
period_end: datetime
The quarter the position is reported for, which is the SEC PERIODOFREPORT. It is carried rather than derived from Time because the two are unrelated: late filings and amendments mean one filing date carries several different reported quarters, and the gap between them runs from zero to years.
form_type: str
Submission type, which is 13F-HR for a holdings report and 13F-HR/A for an amendment. A 13F-NT notice reports no positions and so contributes no records at all.
amendment_type: str
For an amendment, whether it restates the whole report or only adds holdings. The distinction decides whether the amendment replaces the original filing or supplements it, and the SEC leaves it to the filer to declare. Empty on an original filing.
amendment_number: Optional[int]
Sequence number of the amendment, or null on an original filing.
title_of_class: str
Class of the security as the manager titled it, such as COM or CL A. It is free text that the filer writes, so it varies between managers for the same security.
amount: Optional[float]
Size of the position, which is a number of shares when AmountType is SH and a principal amount when it is PRN. The two are not comparable and are deliberately left in one field with its unit beside it, as the SEC reports them.
amount_type: str
Unit of Amount: SH for shares, PRN for a principal amount.
reported_value: Optional[float]
Market value of the position exactly as the manager reported it, in the unit the filing used. Before 2023 the SEC asked for thousands of dollars and since then for whole dollars, and filers on both sides of that change ignore the instruction, so the number is published untouched with ValueScale beside it.
value_scale: int
The power of ten that turns ReportedValue into whole dollars: 3 for a value stated in thousands, 0 for one already in dollars, and -3 for a line that overstated its value a thousandfold, which happens often enough to matter.
This is the one reading in the record that the SEC does not publish. It comes from the filing's period and from the size of the value against the security's close, because filers disagree with the instruction often enough that the period alone is wrong. It is carried beside the reported number rather than multiplied into it, so that what the manager filed stays readable and this judgement stays separable from it. Use MarketValue to apply it.
market_value: Optional[float]
Market value of the position in whole dollars. Worked out from ReportedValue and ValueScale rather than carried as a column of its own, so the three can never disagree.
put_call: Optional[OptionRight]
Whether the position is an option on the security rather than the security itself, and on which side. Null for a holding of the security. An option line states the shares underlying the contracts, not the number of contracts.
investment_discretion: str
Who exercises investment discretion over the position: SOLE for the filing manager alone, DFND when it is defined by other managers, OTR otherwise.
other_manager: str
The other managers that share the position, as the sequence numbers the filing gives them on its cover page, separated by semicolons. Empty when the manager reports alone.
voting_sole: Optional[float]
Shares over which the manager holds sole voting authority.
voting_shared: Optional[float]
Shares over which the manager shares voting authority.
voting_none: Optional[float]
Shares over which the manager holds no voting authority.
confidential_omitted: bool
True when the submission this line belongs to withheld other positions under confidential treatment. The filing is then incomplete by design and the withheld positions surface in a later one, so the flag is carried rather than silently ignored.
date_reported: Optional[datetime]
The date a previously confidential filing was originally made, which the SEC publishes as DATEREPORTED. It is filled on about two filings in a thousand and is null on the rest, so it marks positions that were withheld and later released rather than serving as a timestamp. The timestamp is Time, the filing date.
end_time: datetime
The record covers the filing date it is stamped with, ending at midnight that night.
LEAN emits a point at its end time rather than at its time, so this is what decides when an algorithm sees the filing: the day's filings all arrive at 00:00 the following day, after EDGAR has finished listing that day at about 22:05 ET. Nothing is readable before it was filed, and a whole day of filings arrives at once instead of trickling in.
REPORT_FOLDER: str
Name of the dataset's folder under alternative/sec/, which is where its files live.
data_type: MarketDataType
Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.
time: datetime
Current time marker of this data packet.
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: float
As this is a backtesting platform we'll provide an alias of value as price.
ALL_RESOLUTIONS: List[Resolution] = ...
A list of all Resolution
This Field is protected.
DAILY_RESOLUTION: List[Resolution] = ...
A list of Resolution.DAILY
This Field is protected.
MINUTE_RESOLUTION: List[Resolution] = ...
A list of Resolution.MINUTE
This Field is protected.
HIGH_RESOLUTION: List[Resolution] = ...
A list of high Resolution, including minute, second, and tick.
This Field is protected.
OPTION_RESOLUTIONS: List[Resolution] = ...
A list of resolutions support by Options
This Field is protected.
is_fill_forward: bool
True if this is a fill forward piece of data
data_time_zone() -> Any
Data time zone (Eastern, the SEC filing time zone).
get_source(
config: SubscriptionDataConfig,
date: datetime,
is_live_mode: bool,
) -> SubscriptionDataSource
Location of the source file. One zip per security holds one entry per filing date, so that the dataset stays at a file per security instead of the eight and a half million a loose file per date would take. LEAN reads the entry straight out of the zip.
is_sparse_data() -> bool
Sparse data: a security is only reported on the days managers file for it.
reader(
config: SubscriptionDataConfig,
line: str,
date: datetime,
is_live_mode: bool,
) -> BaseData
Parses one line of the file into one reported position.
requires_mapping() -> bool
Linked to Equities, so renames and delistings are applied via map files.
supported_resolutions() -> List[Resolution]
Supported resolutions (Daily only, the quarterly cadence is modeled as Daily).
to_string() -> str
String representation for debugging.
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() -> 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(
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(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(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(
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(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 |