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Help to develop a simple algorithm
Jaime Ramirez
posted Nov 7, 2013

Hello,

I am student trying to learn to program, develop simple trading algorithms to understand price behavior during certain events. I am trying to develop an algorithm that will show me how the price of SPY changes before the ex-dividend date and after the pay date.

I looked at the API, but I can't find something that will help me buy a certain amount of shares around the ex-dividend date and sell it after the pay date. As I understood it, it is not yet implemented. Is there anything I can do to write an algorithm that will accomplish what I need? I would also like to plot my position during that time period. I hope what I said made sense.

Any help that would lead me to getting started would be appreciated.

Thank you,

Jaime

2 responses
Peter Cawthron
Nov 7, 2013

Hello Jamie,

You need to find the dividend data and import to Quantopian via 'fetcher'. The following may give you some ideas. This data if from http://www.quandl.com/SEC-U-S-Securities-and-Exchange-Commission/DIV_SPY-SPDR-S-P-500-ETF-SPY-Dividends

''' The CSV file contains data in the format:

Date    Dividend  
15/03/2002  0.331  
21/06/2002  0.353  
20/09/2002  0.378  
20/12/2002  0.436  
21/03/2003  0.354

'''

def initialize(context):  
    context.SPY = [sid(8554)]  
    fetch_csv('https://raw.github.com/pcawthron/StockData/master/SPY%20Dividends.csv',  
              symbol      = 'SPY',  
              date_column = 'Date',  
              date_format = '%d/%m/%Y',  
              pre_func    = show_csv)  

def show_csv(df):  
    print df.head()  
    return df

def handle_data(context, data):  
    if 'Dividend' in data['SPY'] and data['SPY'].datetime == get_datetime():  
        print "Dividend: " + str(data['SPY']['Dividend'])  
        record(Dividend=data['SPY']['Dividend'])

Log:

1970-01-01 PRINT Date Dividend  
0 15/03/2002 0.331  
1 21/06/2002 0.353  
2 20/09/2002 0.378  
3 20/12/2002 0.436  
4 21/03/2003 0.354  
2002-03-15 PRINT Dividend: 0.331  
2002-06-21 PRINT Dividend: 0.353  
2002-09-20 PRINT Dividend: 0.378  
2002-12-20 PRINT Dividend: 0.436  
2003-03-21 PRINT Dividend: 0.354  
End of logs.
Jaime Ramirez
Nov 8, 2013

Thank you, Peter, that will help me very much.

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