Fundamental pipeline

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Can someone show me a simple way to use the Morningstar fundamentals data in a pipeline? Documentation says I need to reference a column but I don't know what those columns are. What I have is:

def initialize(context):  
    """  
    Called once at the start of the algorithm.  
    """  
    p = attach_pipeline(Pipeline(), 'my_pipeline')  
    my_factor = MyFactor(inputs=[morningstar.asset_classification.financial_health_grade], window_length=1)  
    p.add(my_factor, 'my_factor')

I've subclassed CustomFactor but I'm just not sure how to get the various rankings out of the input.

3 responses

Michael Matthews

If you simply want a pipeline column containing the financial health grade, try the following:

def initialize(context):  
    """  
    Called once at the start of the algorithm.  
    """  
    p = attach_pipeline(Pipeline(), 'my_pipeline')  
    my_factor = morningstar.asset_classification.financial_health_grade.latest  
    p.add(my_factor, 'my_factor')

See this page of the tutorial and look under the heading "Latest" for a simple example of how to use .latest.

Also, see the following post for the new fundamental data implementation. https://www.quantopian.com/posts/faster-fundamental-data

Matt S

Thanks, Michael. I'll give all this a look.

Robert Petteruti

Hi Matt,

Here is a link showing all the available fields in the Morningstar fundamentals dataset:
https://www.quantopian.com/help/fundamentals#fundamentals-overview

To reference fundamentals data in your code, simply import Fundamentals from quantopian.pipeline.data.

Here’s an example of using Morningstar fundamentals data in pipeline, specifically on line 20 using ‘enterprise_value’ as a factor. Let me know if you need any more guidance and good luck!

Best,
Robert

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