Research

Fundamental Data

Introduction

QuantConnect hosts fundamental data provided by Morning Star. There are 900+ fundamental data factors from 5000+ liquid assets. We can access and experiment with this data in the Research environment using the helper method qb.GetFundamental(Symbols, Selector, StartDate, EndDate).

For more information on the fundamental data and the selector fields available please see the data library.

Requesting Fundamental Data

The GetFundamental(Symbols, Selector, StartDate, EndDate) returns a pandas dataframe indexed by time. Symbols is a list of symbols. Selector is the name of fundamental data. If StartDate and EndDate are not specified, QuantBook will get all the fundamental data start from January 1st, 1998.

For some quarterly or yearly reported fundamentals like FinancialStatements and OperationRatios you need to specify the period at the end of fundamental selector name. The periods available are OneMonth, TwoMonths, ThreeMonths, SixMonths, NineMonths, TwelveMonths.

# Get the PE ratio for a list technology companies 
qb.GetFundamental(["AAPL","AMZN", "GOOG","IBM"], "ValuationRatios.PERatio", datetime(2017, 1, 4), datetime.now())

# Get the AAPL shares outstanding in earning reports
qb.GetFundamental(["AAPL"], "EarningReports.BasicAverageShares.ThreeMonths")

# Get earnings per share of AAPL
qb.GetFundamental(["AAPL"], "EarningReports.BasicEPS.TwelveMonths")
Request PE Ratio of Specified Assets in QuantConnect Research
Request Shares Outstanding of Specified Asset in QuantConnect Research
Request Earnings per Share of Specified Asset in QuantConnect Research

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