/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ using System.Collections.Generic; using System.Linq; using QuantConnect.Data; using QuantConnect.Data.Custom.SEC; namespace QuantConnect.Algorithm.CSharp { /// /// Demonstration algorithm showing how to use and access SEC data /// /// /// /// /// public class SECReportDataAlgorithm : QCAlgorithm { private Symbol _symbol; public const string Ticker = "AAPL"; /// /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized. /// public override void Initialize() { SetStartDate(2019, 1, 1); SetEndDate(2019, 1, 31); SetCash(100000); _symbol = AddData(Ticker).Symbol; AddData(Ticker); } public override void OnData(Slice slice) { var data = slice.Get(); foreach (var submission in data.Values) { Log($"Form Type {submission.Report.FormType}"); Log($"Filing Date: {submission.Report.FilingDate:yyyy-MM-dd}"); foreach (var filer in submission.Report.Filers) { Log($"Filing company name: {filer.CompanyData.ConformedName}"); Log($"Filing company CIK: {filer.CompanyData.Cik}"); Log($"Filing company EIN: {filer.CompanyData.IrsNumber}"); foreach (var formerCompany in filer.FormerCompanies) { Log($"Former company name of {filer.CompanyData.ConformedName}: {formerCompany.FormerConformedName}"); Log($"Date of company name change: {formerCompany.Changed:yyyy-MM-dd}"); } } // SEC documents can come in multiple documents. // For multi-document reports, sometimes the document contents after the first document // are files that have a binary format, such as JPG and PDF files foreach (var document in submission.Report.Documents) { Log($"Filename: {document.Filename}"); Log($"Document description: {document.Description}"); // Print sample of contents contained within the document Log(document.Text.Substring(0, 100)); Log("================="); } } } } }