Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Upcoming Change to Morningstar Industry and Industry Group Classifications
Jamie McCorriston
posted
Q Updates Fundamentals

Hey everyone,

Later this week, we are expecting an update from Morningstar to the way that they classify US companies at the Industry and Industry Group level. The change includes additions, removals, and changes to labels at both the Industry and Industry Group level, but the new classification system will only be applied going forward (the old system will not be retroactively updated). Both the old classification system and the new one are detailed in our documentation (old system / new system).

Please note that if you have any Industry or Industry Group codes hard coded in your algorithms, the behavior of those algorithms on simulation dates after this week might change from what you've seen. However, the behavior on backtest/simulation dates prior to this week should not be changed, since historical data is unaffected by the change.

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.

4 responses
kamran sokhanvari

Thanks Jamie. Just to clarify, will any of the sector codes change or just Industry Group numbering?

Jamie McCorriston

Hi Kamran,

According to Morningstar, it's just the Industry and Industry Group classifications that we should expect to see change, not Sector.

Viridian Hawk

Today when submitting an algo to the contest, I got the following error:

Algorithm contains deprecated fundamental fields. Please remove and re-submit.

As far as I can tell. the only fundamentals field I was using in this algo is Fundamentals.morningstar_industry_group_code.latest. Is this deprecated?

Jamie McCorriston

@Viridian: Sorry for the trouble. I don't expect the morningstar_industry_group_code field to be deprecated so I started looking into what might be causing the error. I just tried reproducing the issue but the contest algorithm validation step succeeded without raising the error you mentioned above. Do you have an example that reproduces the issue without revealing your secret sauce? If we can reproduce the issue on our end, we will be in a better place to triage the issue.

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.