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. To get fundamental data into your algorithm, add a fundamental universe.

Properties

To get fundamental data, access the FineFundamental properties in your fine universe selection function or access the Fundamentals property of the Equity objects in your fundamental universe.

var fundamentals = Securities[_symbol].Fundamentals;
fundamentals = self.Securities[self.symbol].Fundamentals

The US Fundamentals dataset provides FineFundamental objects. To filter FineFundamental objects, you can use the MorningstarSectorCode, MorningstarIndustryGroupCode, and MorningstarIndustryCode enumeration values.

FineFundamental Attributes

FineFundamental objects have the following attributes:

MorningstarSectorCode Enumeration

Sectors are large super categories of data. To access the sector of an Equity, use the MorningstarSectorCode property.

filteredFine = fine.Where(x => x.AssetClassification.MorningstarSectorCode == MorningstarSectorCode.Technology);
filtered_fine = [x for x in fine if x.AssetClassification.MorningstarSectorCode == 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 MorningstarIndustryGroupCode property.

filteredFine = fine.Where(x => x.AssetClassification.MorningstarIndustryGroupCode == MorningstarIndustryGroupCode.ApplicationSoftware);
filtered_fine = [x for x in fine if x.AssetClassification.MorningstarIndustryGroupCode == MorningstarIndustryGroupCode.ApplicationSoftware]

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 MorningstarIndustryCode property:

filteredFine = fine.Where(x => x.AssetClassification.MorningstarIndustryCode == MorningstarIndustryCode.SoftwareApplication);
filtered_fine = [x for x in fine if x.AssetClassification.MorningstarIndustryCode == MorningstarIndustryCode.SoftwareApplication]

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 PrimaryExchangeID property.

filteredFine = fine.Where(x => x.CompanyReference.PrimaryExchangeID == "NAS");
filtered_fine = [x for x in fine if x.CompanyReference.PrimaryExchangeID == "NAS"]

The exchanges are represented by the following string values:

String RepresentationExchange
NYSNew York Stock Exchange (NYSE)
NASNASDAQ
ASEAmerican Stock Exchange (AMEX)
TSETokyo Stock Exchange
AMSAmsterdam Internet Exchange
SGOSantiago Stock Exchange
XMADMadrid Stock Exchange
ASXAustralian Securities Exchange
BVMFB3 (stock exchange)
LONLondon Stock Exchange
TKSIstanbul Stock Exchange Settlement and Custody Bank
SHGShanghai Exchange
LIMLima Stock Exchange
FRAFrankfurt Stock Exchange
JSEJohannesburg Stock Exchange
MILMilan Stock Exchange
TAETel Aviv Stock Exchange
STOStockholm Stock Exchange
ETRDeutsche Boerse Xetra Core
PARParis Stock Exchange
BUEBuenos Aires Stock Exchange
KRXKorea Exchange
SWXSIX Swiss Exchange
PINXPink Sheets (OTC)
CSECanadian Securities Exchange
PHSPhilippine Stock Exchange
MEXMexican Stock Exchange
TAITaiwan Stock Exchange
IDXIndonesia Stock Exchange
OSLOslo Stock Exchange
BOGColombia Stock Exchange
NSENational Stock Exchange of India
HELNasdaq Helsinki
MISXMoscow Exchange
HKGHong Kong Stock Exchange
ISTIstanbul Stock Exchange
BOMBombay Stock Exchange
TSXToronto Stock Exchange
BRUBrussels Stock Exchange
BATSBATS Global Markets
ARCXNYSE Arca
GREYGrey Market (OTC)
DUSDusseldorf Stock Exchange
BERBerlin Stock Exchange
ROCOTaipei Exchange
CNQCanadian Trading and Quotation System Inc.
BSPBangko Sentral ng Pilipinas
NEOENEO Exchange

Historical Data

To get historical fundamental data, set a warm-up period and save the fundamental data during the warm-up period. It’s not currently possible to make a history request for fundamental data in an algorithm. Subscribe to GitHub Issue #4890 to track the feature progress.

Data Updates

The US Fundmamental 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 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.

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