Hello community & staff,
I am trading based on fundamental data. To my knowledge, QC has the best collection for fundamental data there is, thank you!!
The https://www.quantconnect.com/data/morning-star-us-fundamentals describes “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. If there have been no updates this week, you'll receive the same fundamental data.”.
Right now I read the fundamental data at every new day based on this condition, which implies that I have received all data at midnight. Seems to work that way in the backtest:
+ Expand
class SymbolData:
...
@property
def MarketCap(self):
return self.security.Fundamentals.MarketCap
class MyAlpha(QCAlgorithm):
...
def update(...)
...
condition = self.day != self.algo.Time.day
if condition:
# decision logic based on hopefully most recent fundamental data
# buy some stocks
...
Should I rather add the condition of the hour being greater than 7 to make sure I catch the daily / monthly updates?
condition = self.day != self.algo.Time.day and self.algo.Time.hour > 7
I will do some testing for that, but knowing how it should be definitely helps me (and maybe others).
Thank you,
Jens
Louis Szeto
Hi Jens
We recommend you save MarketCap settable attribute and update it through coarse fundamental universe selection method. That would make sure you have the most updated data, even for the securities that you did not subscribe to its data:
Best
Louis
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