SEC13FAlgorithm.py

# 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.

from AlgorithmImports import *
from QuantConnect.DataSource import *


class SEC13FAlgorithm(QCAlgorithm):
    '''Example algorithm using the SEC Form 13F institutional holdings dataset as a source of alpha.
    It follows one manager, Pershing Square, through seven of the names it reports: it holds them
    all when the first quarter arrives, and from then on only those the manager added to. No filing
    states a change, so the comparison between two reported quarters is worked out here.'''

    # Pershing Square Capital Management, and Pershing Square Inc., which has reported the same
    # positions since the June 2026 quarter. A change of reporting entity is a change of CIK.
    MANAGERS = {1336528, 2026053}

    def initialize(self) -> None:
        # Two filings fall in this window: the March 2026 quarter, filed on 15 May, and the June
        # quarter, filed on 14 August. Each reaches the algorithm at midnight after its filing date.
        self.set_start_date(2026, 5, 1)
        self.set_end_date(2026, 8, 31)
        self.set_cash(100000)

        self._shares_by_equity = {}
        self._latest_period = datetime.min
        self._rebalance = False

        for ticker in ["META", "UBER", "QSR", "MSFT", "BN", "HTZ", "AMZN"]:
            equity = self.add_equity(ticker, Resolution.DAILY).symbol
            self.add_data(SEC13FHoldings, equity)
            self._shares_by_equity[equity] = {}

    def on_data(self, slice: Slice) -> None:
        for data_symbol, point in slice.get(SEC13FHoldings).items():
            # One point per filing date, carrying every position every manager reported for the
            # security that day. An amendment restates lines already counted and an option line
            # states the shares under the contracts, so both are left out of the share count.
            for holding in point:
                if (holding.manager_cik not in self.MANAGERS or holding.form_type != "13F-HR"
                        or holding.amount_type != "SH" or holding.put_call is not None):
                    continue

                equity = data_symbol.underlying
                shares = self._shares_by_equity[equity]
                shares[holding.period_end] = shares.get(holding.period_end, 0) + (holding.amount or 0)
                self._latest_period = max(self._latest_period, holding.period_end)
                self._rebalance = True

                self.log(f"{self.time:%Y-%m-%d} {equity.value} - {holding.manager_name} reports "
                         f"{holding.amount:,.0f} shares, {holding.market_value:,.0f} USD, "
                         f"for {holding.period_end:%Y-%m-%d}")

        # A 13F point arrives at midnight the day after its filing date, which is not necessarily
        # a day the equities print a bar, so the orders wait for prices.
        if not self._rebalance or slice.bars.count == 0:
            return

        self._rebalance = False

        selected = []
        for equity, shares in self._shares_by_equity.items():
            quarters = [shares[period] for period in sorted(shares)]

            # A position sold out of has no line in the new quarter, so its newest period stays
            # behind the newest the manager reported anywhere. Taken for the name's own latest
            # quarter, it would be compared with the quarter before it and held forever. Not
            # being reported is a report of no shares.
            if shares and max(shares) < self._latest_period:
                quarters.append(0)

            # With one quarter known, hold what the manager holds. With two, hold what it added to.
            if quarters and (quarters[0] > 0 if len(quarters) == 1 else quarters[-1] > quarters[-2]):
                selected.append(equity)

        if not selected:
            self.liquidate()
            return

        self.set_holdings([PortfolioTarget(equity, 1 / len(selected)) for equity in selected],
                          liquidate_existing_holdings=True)

    def on_order_event(self, order_event: OrderEvent) -> None:
        if order_event.status == OrderStatus.FILLED:
            self.debug(f"{self.time} - Filled: {order_event.symbol} {order_event.fill_quantity}")