US Equity
Corporate Fundamentals
Introduction
Corporate fundamental data contains all the information on the underlying company of an Equity asset and the information in their financial statements. Since corporate data contains information not found in price and alternative data, adding corporate data to your trading strategies provides you with more information so you can make more informed trading decisions. Corporate fundamental data is available through the US Fundamental Data from Morningstar.
Direct Access
To get fundamental data for Equities in your algorithm, use the Fundamentalsfundamentals property of the Equity objects. The fundamental data represent the company's fundamentals for the current algorithm time.
var fundamentals = Securities[_symbol].Fundamentals;
fundamentals = self.securities[self.symbol].fundamentals
To get fundamental data for Equities, regardless of whether or not you have subscribed to them in your algorithm, call the Fundamentalsfundamentals method. If you pass one Symbol, the method returns a Fundamental object. If you pass a list of Symbol objects, the method returns a list of Fundamental objects. The fundamental data represents the corporate fundamentals for the current algorithm time.
// Single asset
var ibm = QuantConnect.Symbol.Create("IBM", SecurityType.Equity, Market.USA);
var ibmFundamental = Fundamentals(ibm);
// Multiple assets
var nb = QuantConnect.Symbol.Create("NB", SecurityType.Equity, Market.USA);
var fundamentals = Fundamentals(new List<Symbol>{ nb, ibm }).ToList(); # Single asset
ibm = QuantConnect.symbol.create("IBM", SecurityType.EQUITY, Market.USA)
ibm_fundamental = self.fundamentals(ibm)
# Multiple assets
nb = QuantConnect.symbol.create("NB", SecurityType.EQUITY, Market.USA)
fundamentals = self.fundamentals([ nb, ibm ])
Data Availability
Some assets don't have fundamentals (for example, ETFs) and the Morningstar dataset doesn't provide fundamentals for all US Equities. To check if fundamental data is available for an asset, use the HasFundamentalDatahas_fundamental_data property.
var hasFundamentalData = Securities[_symbol].Fundamentals.HasFundamentalData;
has_fundamental_data = self.securities[self.symbol].fundamentals.has_fundamental_data
Object References
If you save a reference to the Fundamentalsfundamentals object or its properties, you can access the fundamental properties as they change over time.
_fundamentals = Securities[_symbol].Fundamentals; var earningRatios = _fundamentals.EarningRatios;
self._fundamentals = self.securities[self.symbol].fundamentals earning_ratios = self.fundamentals.earning_ratios
Universe Selection
You can access fundamental data in the selection function of your fundamental universe.
public class MyUniverseAlgorithm : QCAlgorithm {
public override void Initialize()
{
UniverseSettings.Asynchronous = true;
AddUniverse(FundamentalFilterFunction);
}
private IEnumerable<Symbol> FundamentalFilterFunction(IEnumerable<Fundamental> fundamental)
{
return (from f in fundamental
where f.HasFundamentalData
select f.Symbol);
}
} class MyUniverseAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self.universe_settings.asynchronous = True
self.add_universe(self.fundamental_function)
def fundamental_function(self, fundamental: List[Fundamental]) -> List[Symbol]:
return [c.symbol for c in fundamental if c.has_fundamental_data]
Historical Data
To get historical fundamental data, call the Historyhistory method. The return type depends on how you call the method.
var ibm = QuantConnect.Symbol.Create("IBM", SecurityType.Equity, Market.USA);
// Fundamental objects
var fundamentalHistory = History<Fundamental>(ibm, TimeSpan.FromDays(30));
// Fundamentals objects for all US Equities (including delisted companies)
var fundamentalsHistory = History<Fundamentals>(TimeSpan.FromDays(30));
// Collection of Fundamental objects for all US Equities (including delisted companies)
var collectionHistory = History(_universe, 30, Resolution.Daily);
foreach (var fundamental in collectionHistory)
{
// Cast to Fundamental is required
var highestMarketCap = fundamental.OfType<Fundamental>().OrderByDescending(x => x.MarketCap).Take(5);
}
ibm = Symbol.create("IBM", SecurityType.EQUITY, Market.USA)
# Multi-index DataFrame objects
df_history = self.history(Fundamental, ibm, timedelta(30))
# Fundamental objects
fundamental_history = self.history[Fundamental](ibm, timedelta(30))
# Fundamentals objects for all US Equities (including delisted companies)
fundamentals_history = self.history[Fundamentals](timedelta(30))
# Multi-index Series objects of list of Fundamental objects
series_history = self.history(self.universe, 30, Resolution.DAILY)
for (universe_symbol, time), fundamental in series_history.items():
highest_market_cap = sorted(fundamental, key=lambda x: x.market_cap)[-5:]
For more information about historical fundamental data, see Equity Fundamental Data.
Data Updates
The US Fundamental dataset only provides the originally-reported figures. If there was a mistake in reporting a figure, the data value isn't fixed later. In live trading, new fundamental data is available to your algorithms at approximately 6/7 AM Eastern Time (ET) each day. The majority of the corporate data update occurs once per month, but the financial ratios update daily. If there is no new data for a period of time, the previous data is filled forward.
Properties
The US Fundamentals dataset provides Fundamental objects. To filter Fundamental objects, you can use the MorningstarSectorCode, MorningstarIndustryGroupCode, and MorningstarIndustryCode enumeration values.
Fundamentals Attributes
Fundamentals objects have the following attributes:
MorningstarSectorCode Enumeration
Sectors are large super categories of data. To access the sector of an Equity, use the MorningstarSectorCodemorningstar_sector_code property.
filtered = fundamental.Where(x => x.AssetClassification.MorningstarSectorCode == MorningstarSectorCode.Technology);
filtered = [x for x in fundamental if x.asset_classification.morningstar_sector_code == MorningstarSectorCode.TECHNOLOGY]
The MorningstarSectorCode enumeration has the following members:
MorningstarIndustryGroupCode Enumeration
Industry groups are clusters of related industries which tie together. To access the industry group of an Equity, use the MorningstarIndustryGroupCodemorningstar_industry_group_code property.
filtered = fundamental.Where(x => x.AssetClassification.MorningstarIndustryGroupCode == MorningstarIndustryGroupCode.ApplicationSoftware);
filtered = [x for x in fundamental if x.asset_classification.morningstar_industry_group_code == MorningstarIndustryGroupCode.APPLICATION_SOFTWARE]
The MorningstarIndustryGroupCode enumeration has the following members:
MorningstarIndustryCode Enumeration
Industries are the finest level of classification available and are the individual industries according to the Morningstar classification system. To access the industry group of an Equity, use the MorningstarIndustryCodemorningstar_industry_code property:
filtered = fundamental.Where(x => x.AssetClassification.MorningstarIndustryCode == MorningstarIndustryCode.SoftwareApplication);
filtered = [x for x in fundamental if x.asset_classification.morningstar_industry_code == MorningstarIndustryCode.SOFTWARE_APPLICATION]
The MorningstarIndustryCode enumeration has the following members:
Exchange Id Values
Exchange Id is mapped to represent the exchange that lists the Equity. To access the exchange Id of an Equity, use the PrimaryExchangeIDprimary_exchange_id property.
filtered = fundamental.Where(x => x.CompanyReference.PrimaryExchangeID == "NAS");
filtered = [x for x in fundamental if x.company_reference.primary_exchange_id == "NAS"]
The exchanges are represented by the following string values:
| String Representation | Exchange |
|---|---|
| NYS | New York Stock Exchange (NYSE) |
| NAS | NASDAQ |
| ASE | American Stock Exchange (AMEX) |
| TSE | Tokyo Stock Exchange |
| AMS | Amsterdam Internet Exchange |
| SGO | Santiago Stock Exchange |
| XMAD | Madrid Stock Exchange |
| ASX | Australian Securities Exchange |
| BVMF | B3 (stock exchange) |
| LON | London Stock Exchange |
| TKS | Istanbul Stock Exchange Settlement and Custody Bank |
| SHG | Shanghai Exchange |
| LIM | Lima Stock Exchange |
| FRA | Frankfurt Stock Exchange |
| JSE | Johannesburg Stock Exchange |
| MIL | Milan Stock Exchange |
| TAE | Tel Aviv Stock Exchange |
| STO | Stockholm Stock Exchange |
| ETR | Deutsche Boerse Xetra Core |
| PAR | Paris Stock Exchange |
| BUE | Buenos Aires Stock Exchange |
| KRX | Korea Exchange |
| SWX | SIX Swiss Exchange |
| PINX | Pink Sheets (OTC) |
| CSE | Canadian Securities Exchange |
| PHS | Philippine Stock Exchange |
| MEX | Mexican Stock Exchange |
| TAI | Taiwan Stock Exchange |
| IDX | Indonesia Stock Exchange |
| OSL | Oslo Stock Exchange |
| BOG | Colombia Stock Exchange |
| NSE | National Stock Exchange of India |
| HEL | Nasdaq Helsinki |
| MISX | Moscow Exchange |
| HKG | Hong Kong Stock Exchange |
| IST | Istanbul Stock Exchange |
| BOM | Bombay Stock Exchange |
| TSX | Toronto Stock Exchange |
| BRU | Brussels Stock Exchange |
| BATS | BATS Global Markets |
| ARCX | NYSE Arca |
| GREY | Grey Market (OTC) |
| DUS | Dusseldorf Stock Exchange |
| BER | Berlin Stock Exchange |
| ROCO | Taipei Exchange |
| CNQ | Canadian Trading and Quotation System Inc. |
| BSP | Bangko Sentral ng Pilipinas |
| NEOE | NEO Exchange |
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