DividendPerShare is 'nan'

from datetime import timedelta
from typing import List

class FT1UniverseSelection(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2020, 2, 1)
        self.set_end_date(2020, 2, 10)
        self.set_cash(100000)
        self.universe_settings.schedule.on(self.date_rules.week_end())
        self.set_universe_selection(CustomUniverseSelectionModel(
            securityType=SecurityType.EQUITY,
            name="MyUniverse",
            market=Market.USA,
            selector=lambda time: ["AAPL", "GOOG", "AMZN", "FB"],
            universeSettings=self.universe_settings,
            interval=timedelta(days=1)
        ))
        self.set_alpha(ConstantAlphaModel(
            InsightType.PRICE,
            InsightDirection.UP,
            timedelta(days=5)
        ))
        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
        self.set_risk_management(NullRiskManagementModel())
        self.set_execution(NullExecutionModel())

class CustomUniverseSelectionModel(FundamentalUniverseSelectionModel):
    def __init__(self):
        super().__init__()
        self.number_of_symbols = 5

    def select(self, algorithm: QCAlgorithm, fundamental: List[Fundamental]) -> List[Symbol]:
        algorithm.log(f"Updating Universe on {algorithm.time}")
        filtered_symbols = [
            f
            for f in fundamental
            if f.has_fundamental_data
            and f.OperationRatios.ROE.HasValue
            and f.OperationRatios.ROE.Value > 0.10
        ]
        sorted_by_market_cap = sorted(
            filtered_symbols,
            key=lambda c: c.MarketCap,
            reverse=True,
        )[: self.number_of_symbols]
        algorithm.log("*" * 30)
        algorithm.log("Standard Fundamental Data")
        for index, f in enumerate(sorted_by_market_cap):
            algorithm.log(
                f"DATE: {algorithm.time} SYMBOL: {f.symbol.value}, ROE: {f.operation_ratios.roe.value} DividendPerShare: {f.earning_reports.dividend_per_share.value}"
            )
        return []

Sources: Short Term Reversal, Standardized Unexpected Earnings

So after investigating further on other sites, it seems, at least with the equities listed above, that when it is ‘nan’ from morningstar it isactually 0.

This seems like a bug to me as 0 and ‘nan’ semantically different.

Hi Best

You need to specify the period of the fundamental data. For example, the nearest dividend per share shall use the following:

f.earning_reports.dividend_per_share.one_month

Best
Louis