Is there an ETA for fix to marketcap/enterprisevalue bug in morning star data?
Hi Sarvi,
I've been digging into this and unfortunately don't have a ton of good news. The historical data that helped us build the database from 2002 - May 2014 does not include daily updates. We only receive monthly updates from our data provider and they don't seem to be available in daily form for that timeframe.
We've been receiving daily updates for the data since May 2014 for these metrics and should see daily changes in the relevant metrics for that time period forward.
In the case of market cap (specifically), you could work around the problem by using price from the backtester and shares outstanding (from get_fundamentals) as an approximation as a workaround for 200 stocks at a time.
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This is disappointing.
It should be relatively simple for quantopian to calculate these values and make them available for the period its missing from the morning start source. Having this data daily only since May 2014 does meet the needs of fundamental research. For doing fundamental statistical research I consider even just 12 years of price and fundamental data very limiting.
And calculating and querying in the approach you are suggesting is not really easy, flexible nor complete.
Even if I wanted calculate these values myself and filter based on them across across the entire collection of stocks, like I am doing, thats neither simple and nor possible with the current API limitations.
To be truly useful for researching fundamental based models, the following needs to happen.
1. EOD price data should be available for the entire stock database in the before_trading_start() function
2. Values such as Enterprise Value should be current to-date from the data base. OR The querying API should be flexible enough to calculate such fields from what is available and the EOD price data and then be able to query based on them.
3. And it is important, that we have morning_star fundamental data and EOD data for much longer than is currently available,
Not sure when I can reasonably expect to see any of these in quantopian.
Savi
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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.