Getting multiple fundamental data at once.

In QuantConnect, you can access fundamental data in a few ways.

1. You can use the Fundamentals property of the Equity objects. This will give you the fundamental data for the current algorithm time. Here is an example:

fundamentals = self.securities[self._symbol].fundamentals

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1. You can also use the Fundamentals method. If you pass one Symbol, the method returns a Fundamental object. If you pass a list of Symbol objects, the method returns a list of Fundamental objects. Here is an example:

# Single asset
ibm = QuantConnect.symbol.create("IBM", SecurityType.EQUITY, Market.USA)
ibm_fundamental = self.fundamentals(ibm)

# Multiple assets
nb = QuantConnect.symbol.create("NB", SecurityType.EQUITY, Market.USA)
fundamentals = self.fundamentals([ nb, ibm ])

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1. You can access fundamental data in the selection function of your fundamental universe. Here is an example:

class MyUniverseAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.universe_settings.asynchronous = True
        self.add_universe(self._fundamental_function)

    def _fundamental_function(self, fundamental: List[Fundamental]) -> List[Symbol]:
        return [c.symbol for c in fundamental if c.has_fundamental_data]

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However, as per the information available in the knowledge sources, there isn't a direct way to fetch all the fundamental data in a chunk as you described. You might need to access each field individually. If you want to access a large number of fields, you might consider creating a list of the fields you're interested in and then looping over that list to access each one.

I get that I need to specify the field I am interested in. But where should I look for  to search the field's name such as "ValuationRatios.SustainableGrowthRate". I don't know where ratios such as Roic, PER are located at

You can find the names of the fundamental fields in the QuantConnect documentation. Here are some examples:

• ValuationRatios.SustainableGrowthRate
• ValuationRatios.PayoutRatio
• ValuationRatios.CashReturn
• ValuationRatios.FCFRatio
• ValuationRatios.EarningYield
• ValuationRatios.SalesYield
• ValuationRatios.BookValueYield
• ValuationRatios.PEGRatio
• ValuationRatios.PBRatio
• ValuationRatios.BuyBackYield
• ValuationRatios.PricetoEBITDA
• ValuationRatios.ForwardPERatio
• ValuationRatios.EVToEBITDA3YrAvgChange
• ValuationRatios.EVtoFCF
• ValuationRatios.EVtoEBIT
• ValuationRatios.EVToForwardEBITDA
• ValuationRatios.EVToForwardRevenue
• ValuationRatios.ForwardROE
• ValuationRatios.ForwardDividend

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You can also find a list of the currently supported fundamental data in the QuantConnect documentation.

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Please note that more data doesn't always lead to better results. You could try analyzing the correlation between some of these factors with returns to filter out the useful ones.