Fundamental data delay

Hi R G Quant,

The majority of the fundamental data update occurs once per month. This includes updates to all of the key information for each security Morningstar supports. Also, as Morningstar data arrives, it updates the master copy and is passed into your algorithm, similar to how TradeBars are fill-forwarded in your data feed. So if there have been no updates this week, you'll receive the same fundamental data. Refer to this doc for more information.

Best,

Varad Kabade

Hi Varad, Thanks for citing and pointing me to the docs.

I am still not able to answer my question though. I will try to explain the issue with other words.

If the fundamental data is updated only every month as appears from the docs you cite, then Alexandre's answer to this thread would not be correct.

The author of the thread was asking how to avoid Securities that had an Earnings Announcement within the past week and Alexandre suggested filtering securities in the Universe by 

Time > x.EarningReports.FileDate.AddDays(7)

Live:
Say the actual earnings announcement date was the 3rd of April and the fundamental data gets updated only later, say the 29th of April. Then the EarningReports.FileDate would be the one of the earlier report up until the 29th of April. As a result, by using the above code, say, the 5th of April, you would include the security in your universe which is what the author of the thread was willing to avoid.

*Question 1: Is the above solution actually working? If so, how come if the data just comes monthly? If the above solution does indeed not work, is there a(nother) solution?

Backtest:
Now imagine the exact situation I described for live above, but during a backtest. 

*Question 2: In the backtest's 5th of April, would I find the Earning Announcements in the Fundamentals data, or is the system built in such a way that also in the backtest's time that piece of information would only be available from the (backtest's) 29th of April on? I am referring to the fundamental data available on the Fundamentals property of a Security..And what if we were to use the QuantBook inside the algorithm, would the information taken from there be the one that would have been available on that date?

Hi R G Quant

The solution Alex suggests would work as expected. Our Morningstar data pipes daily, while we reprocess the trunk monthly. What Varad suggesting is on the Morningstar side which is out of our control, but QC's data have daily incremental if new data arrives.

Best
Louis