I came across a stock who's data is presented in two different currencies. My algorithm analyzes 1000+ stocks so its likely there are other examples hiding in the code.
Is there any way to identify companies who's information is coming from more than one currency?
For example, in the attached research environment (ignore the algorithm), CO has cash represented in a foreign currency but market cap in USD. This can be problematic for custom ratios.
Louis Szeto
Hi Big mak
In case you were contrasting company's fundamentals report using foreign exchange with USD stock price, which I think is what you mean, you could screen their business location from fundamental universe selection as the company would use their business countries' currency for reporting.
Otherwise if you're using market data only for arbitrage in different exchange, you can check if the stock is a depository receipt from other exchanges.
Sadly it only works if foreign companies listed on their exchange first then listed a depository receipt in US market. And the other way round won't work (US company listed outside US).
Hope this helps.
Cheers
Louis
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Big mak
Thanks Louis, I was hoping there would be a way aside from screening for location - something within QC to identify that the price and fundamentals are not currency matched and to auto correct.Â
I'll leave this thread up in case someone else can chime in, but otherwise looks like I'll have to filter by location.
Derek Melchin
Hi Big mak,
There is currently no way to determine the currency of the CashAndCashEquivalents besides checking the country ID of the security.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Big mak
Thanks for the response Derek.
Big mak
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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