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Historic fundamentals
Stephan Gueorguiev
posted Apr 11, 2016
Seeking Help

Hi Guys,
Complete newbie so apologies if this has been asked before.

I've seen several posts and API documentation which imply that the Quantopian API only ever delivers fundamental data which is the last quarter of publicly available data at the point in time in the backtest. There are also some posts of more than a few months ago which hint that this is something that is being worked on.

Am I right in thinking that the only way I could get fundamental data on a TTM basis is if I kept track of the TTM calculation in my own data structure and populated it as the backtest ran forward (i.e. would need at least 12 months of warm-up), or is there a better way of doing this today through an API query (specifically Quantopian and Pipeline API - haven't looked at Research yet)?

Thanks in advance,
Stephan

2 responses
Josh Payne
Apr 11, 2016

With Pipeline you can get a lookback window of data and calculate your own TTM metric. This is a little tricky and not ideal as you need to determine/guess when the a new metric is reported. Not ideal, we know and is something we'd like to improve.

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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.

Stefan Kaehler
Apr 30, 2016

Does anyone have some example code of this? Would love to start tracking historical changes in my algos..

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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.