cannot fetch fundamental data

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cannot fetch fundamental data

posted Sep 22, 2015

Seeking Help Using Data

Dear all,

As I try to incorporate some fundamental data into my algorithm, I found there are some problems when I try to fetch the fundamental data for some specific stocks. (please see the following code)

def initialize(context):  
    set_symbol_lookup_date('2015-08-01')  
    set_long_only()  
    context.stocks = symbols(''DIS','CMCS_A','FOX',,'TWC','NFLX')

def before_trading_start(context, data):  
    """  
      Called before the start of each trading day.  
      It updates our universe with the  
      securities and values found from get_fundamentals.  
    """  
    global fundamental_df  


    fundamental_df = get_fundamentals(  
        query(  
            fundamentals.asset_classification.growth_grade,  
            fundamentals.earnings_ratios.diluted_eps_growth,  
        )  
        #.filter(fundamentals.valuation.market_cap != None)  
        #.filter(fundamentals.valuation.shares_outstanding != None)  
        #.order_by(fundamentals.valuation.market_cap.desc())  
        #.limit(num_stocks)  
    )

    print fundamental_df[symbol('FOX')]

However, I get an error message:error message. Does anyone have ever meet the same problem?

Thanks a lot!!

2 responses

Hi,

It seems like there are time frames in which FOX isn't present in the fundamentals data -- that's the underlying cause of the error. When I query the data for the FOX ticker in research and ask for data back on a quarterly basis, I'm only getting data back to 2013:

df = get_fundamentals(  
        query(  
            fundamentals.company_reference.sid,  
            fundamentals.valuation.market_cap  
        )  
        .filter(fundamentals.company_reference.sid==5530) # the sid for FOX  
        , "2015-09-20", '40q')

df.loc['market_cap']

which gives me
security Equity(5530 [FOX]) algo_date 2013-09-23 00:00:00+00:00 72460104733 2013-12-23 00:00:00+00:00 75368065061 2014-03-24 00:00:00+00:00 73457444451 2014-06-23 00:00:00+00:00 76141466343 2014-09-22 00:00:00+00:00 74308611650 2014-12-22 00:00:00+00:00 78482878983 2015-03-02 00:00:00+00:00 71852749526 2015-06-22 00:00:00+00:00 67464131631 2015-09-18 00:00:00+00:00 54666806887

This matches a corporate action in 2013 when Newscorp went from the NWS ticker to the FOX ticker.

We'll need to dig a bit more as to whether this corporate action is being handled correctly in our data.

Disclaimer

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 Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.

Hi Josh,

Thanks a lot for your explanation. Is there any suggestions to get around?

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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 Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.

About Quantopian

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 Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.