SECReportDataAlgorithm.cs

/*
 * 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 QuantConnect.Data;
using QuantConnect.Data.Custom.SEC;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Demonstration algorithm showing how to use and access SEC data
    /// </summary>
    /// <meta name="tag" content="fundamental" />
    /// <meta name="tag" content="using data" />
    /// <meta name="tag" content="custom data" />
    /// <meta name="tag" content="SEC" />
    public class SECReportDataAlgorithm : QCAlgorithm
    {
        private Symbol _symbol;

        public const string Ticker = "AAPL";

        /// <summary>
        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2019, 1, 1);
            SetEndDate(2019, 1, 31);
            SetCash(100000);

            _symbol = AddData<SECReport10Q>(Ticker, Resolution.Daily).Symbol;
            AddData<SECReport8K>(Ticker, Resolution.Daily);
        }

        public override void OnData(Slice slice)
        {
            var data = slice.Get<ISECReport>();

            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("=================");
                }
            }
        }
    }
}