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Historical fundamentals data: problem with live trading
Costantino
posted May 13, 2015

My algorithm uses 11 quarters of fundamentals data.
As there is no history() function like for the price data, I have to store the fundamentals in a dict() for the first 3 years.
This is not so bad for backtesting, but leads to the unpleasant result, that - when activated for live trading - the algorithm didn't yet generate any buy signal.

Could you please suggest a workaround?

In an old post, you told, that history() for fundamentals data was definitely a feature you were work on... any progress? Is there a schedule, when this feature will be released?

Quantopian is a great platform, that will be even greater, when support for historical fundamentals data is implemented!
Thanks a lot for your effort!

6 responses
Josh Payne
May 13, 2015

I think the only workaround I can think of is to try to seed your algorithm with the data it requires to startup and trade immediately. This might be a tough proposition, depending on the volume of data you require to access and store given our current tools and architecture.

The good news is that we're actively working on solving this problem for you. I won't commit to a time frame because every forward looking estimate I've ever made has been wrong :) But I do promise that we're currently working hard on this feature.

Disclaimer

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.

Costantino
May 15, 2015

Thanks for the info... I'm looking forward to getting the new feature!

By the way, I've seen, there were some improvements in the debugger, but the problem described in this thread is unfortunately still there:
https://www.quantopian.com/posts/what-is-a-run-time-error-32-broken-pipe

JOHN VARVARIGOS
Nov 7, 2015

Hi Josh,

I agree with Constantino here. I'm trying to work out the Average Return on Equity over 5 years and am really struggling here. I want to be able to use the output as a measure for calculating an outcome.

Any further help here would be great.

Simon Thornington
Nov 7, 2015

You can get some fundamentals (all?) in Pipeline now.

Costantino
Nov 9, 2015

Yes, but as I pointed here:
https://www.quantopian.com/posts/introducing-the-pipeline-api#562e3bc48d7aef6e630006a6
and here:
https://www.quantopian.com/posts/how-to-get-historical-fundamental-data-with-the-pipeline-api
there is still no convenient way to get historical fundamental data with the Pipeline API: You can can retrieve data x-days in the past but it's not possible the get exactly the data of the last x quarters or annual or TTM data.

Simon Thornington
Nov 9, 2015

Sorry I didn't realize John had bumped an old thread. Yes, this is old news.

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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.