get_fundamentals returns empty in live trading

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get_fundamentals returns empty in live trading

posted Jun 18, 2015

Hi, I am trying to get my algo to work in live trading, but my get_fundamentals call is not working correctly. It works when I backtested it but it returns an empty dataframe when I run it in live. Any ideas?

    fundamental_df = get_fundamentals(  
        query(  
            fundamentals.valuation_ratios.pe_ratio,  
            fundamentals.valuation_ratios.pcf_ratio,  
            fundamentals.valuation_ratios.fcf_ratio,  
            fundamentals.operation_ratios.roic  
        )  
        #.filter(fundamentals.valuation.market_cap > 1e6)  
        .filter(fundamentals.valuation.shares_outstanding != None)  
        .filter(fundamentals.company_reference.country_id != "CHN")  
        .filter(fundamentals.company_reference.business_country_id != "CHN")  
        .filter(fundamentals.general_profile.headquarter_country != "CHN")  
        .filter(fundamentals.valuation.shares_outstanding < 1e9)  
        .filter(fundamentals.income_statement.ebitda > 0)  
        .filter(fundamentals.cash_flow_statement.operating_cash_flow > 0)  
        .filter(fundamentals.operation_ratios.total_debt_equity_ratio < 1)  
        .filter(fundamentals.operation_ratios.current_ratio > 1)  
        #.filter(fundamentals.asset_classification.morningstar_sector_code != 103)  
        #.filter(fundamentals.asset_classification.morningstar_sector_code != 207)  
        .order_by(fundamentals.valuation_ratios.ev_to_ebitda.asc())  
        .limit(10)  
    )

    log.info("fundamental_df length: " + str(len(fundamental_df.columns)))

2 responses

Walter,

Thanks for highlighting this for us. This is an occurrence of a rare bug we've seen in fundamentals that we are actively working to fix (we identified it prior to today and have been working on it since then; it will require a re-build of our underlying database).

If you kick of the algo now, it should successfully run fundamentals tomorrow at 8:45 when live trading algos execute before_trading_start().

We're sorry for the disruption.

Josh

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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.