Get fundamental data for existing positions?

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Get fundamental data for existing positions?

posted Aug 16, 2015

Seeking Help Using Data

What's the best way to get the fundamental data for my context.portfolio.positions?
I may wish to use this as a sell signal.
In before_trading_start, I do this:
context.pe_ratios = get_fundamentals(query(fundamentals.valuation_ratios.pe_ratio))
But it's throwing up KeyErrors.

6 responses

Thanks Mr. Loeber.

It is possible to retrieve fundamentals for one or several sids.

What you'll want is a .filter(fundamentals.valuation.sid==mySid). So all in all, it should look like:

context.pe_ratios = get_fundamentals(query(fundamentals.valuation_ratios.pe_ratio).filter(fundamentals.valuation.sid==mySid))

Maybe

from datetime import timedelta

context.pe_ratios = get_fundamentals(query(fundamentals.valuation_ratios.pe_ratio).filter(fundamentals.valuation.sid.in_([position.sid for position in context.portfolio.positions if position.amount > 0])),get_datetime().date() - timedelta(days=1))

Mr. Loeber,

Thanks for your advice and collaboration here:

I attended The University of Chicago intermittently between 2005 when I matriculated and 2009 when I graduated.

Where are you based?

Feel free to email me

Simon Thornington

Whoa is fundamentals in algos with point-in-time dates released now? Did I miss the memo?

SImon: terribly sorry, it isn't. You can retrieve fundamentals with point-in-time dates on research (which is where I primarily work), but not on algos (the fundamentals are automatically retrieved for the current day of trading). I actually forgot that this was the case. I've amended my answer above appropriately.

However, I expect this feature to arrive in the future.

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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.