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Sample algorithm question: Fundamental Data Algorithm
Jian Jiao
posted May 15, 2015

I am not clear with data in handle_data(context, data), what information data have?

Below is an example, in sample Fundamental Data Algorithm. Full code: https://www.quantopian.com/help#sample-fundamentals

Here context.fundamental_df are securities we want to buy. And before that we want to clear our position. The argument "data" is same as "data" in handle_data.

def rebalance(context, data):  
    # Exit all positions before starting new ones  
    for stock in context.portfolio.positions:  
        if stock not in context.fundamental_df and stock in data:  
            order_target_percent(stock, 0)  
     ... ...

My question is in this line: if stock not in context.fundamental_df and stock in data:

Since if stock is in position, then it must also have been in our universe, then it is in data. So why we need to judge whether stock in data?

Thank you for your help!

3 responses
Alisa Deychman
May 15, 2015

This line loops through all the stocks returned by the fundamentals query:

for stock in context.fundamental_df:

However, some stocks are illiquid or might not trade every single minute. To protect ourselves, we need to check that we have data for this stock in this minute. Otherwise, we can't trade it. This guard checks that we have price information for the stock:

        if stock in data:

Once we check that the stock is in our fundamentals query, and we have data for the stock, then we can trade it.

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.

Jian Jiao
May 15, 2015

So data only contains the information of securities in the universe we have set before?

Alisa Deychman
May 16, 2015

That's right, "data" contains information for all securities in your algo universe

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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.