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Detect new fundamentals in Research
Ph Quam
posted Apr 2, 2016
Seeking Help Getting Started Using Data Research

I want to get the eps of a company and also the first date on which the eps was available in
quantopian fundamental data. Is this date available on per row basis for each company in the results?
For example, this result shows that MSFT eps for period ending on 2015-12-31 became available
in quantopian on 2016-02-03
This was found after executing queries for each day and comparing with the previous day.
Is there a fundamental column that can provide the needed date directly in the results?

As far as I understand fundamentals schema provides only the last reading per each company,
so if I can filter by some available_to_quantopians_since column, I will be able to get all companies whose
last eps became available in quantopian for the first time on the simulation_date

I also had hard time figuring out how to display dates in readable format instead of ints. Is there a better way
to do it?

4 responses
Josh Payne
Apr 3, 2016

Unfortunately, there isn't a better way right now to detect the changes. We have further investment in our fundamentals features in our backlog and I think some of those features might make solving this problem easier for you.

Thanks
Josh

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.

Ph Quam
Apr 3, 2016

MSFT eps was released to the public on Jan 28, Thu and became available in research on Feb 3, Wed.
Knowing that morningstar data is uploaded nightly my first guess is that the eps would be available on Feb 29 Fri.
Where does this lag come from? Is it artificially introduced because the data is free?

Thanks

Josh Payne
Apr 3, 2016

There is no extra lag intentionally injected into the system due to the price. This is the same data we would use for trading Quantopan's own money.

There are a variety of explanations for why the data is not available the following day as your example shows. Some of them include:

  • Morningstar not processing the data on the day of the announcement
  • Delays from Morningstar in making their files available to us
  • Delays on Quantopian's part in properly processing the data

Or a combination of the above.

Ph Quam
Apr 4, 2016

Thank you

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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.