Info in both USD and Foreign Currency for same stock

Hi Big mak

In case you were contrasting company's fundamentals report using foreign exchange with USD stock price, which I think is what you mean, you could screen their business location from fundamental universe selection as the company would use their business countries' currency for reporting.

    def Initialize(self):
        self.AddUniverse(self.MyCoarseFilterFunction, self.MyFineFundamentalFunction)

    def MyCoarseFilterFunction(self, coarse):
        return [x.Symbol for x in coarse if x.HasFundamentalData]

    def MyFineFundamentalFunction(self, fine):
        return [x.Symbol for x in fine if x.CompanyReference.CountryId != "USA"]

Otherwise if you're using market data only for arbitrage in different exchange, you can check if the stock is a depository receipt from other exchanges.

    def Initialize(self):
        self.AddUniverse(self.MyCoarseFilterFunction, self.MyFineFundamentalFunction)

    def MyCoarseFilterFunction(self, coarse):
        return [x.Symbol for x in coarse if x.HasFundamentalData]

    def MyFineFundamentalFunction(self, fine):
        return [x.Symbol for x in fine if x.SecurityReference.IsDepositaryReceipt]

Sadly it only works if foreign companies listed on their exchange first then listed a depository receipt in US market. And the other way round won't work (US company listed outside US).

Hope this helps.

Cheers
Louis

Thanks Louis, I was hoping there would be a way aside from screening for location - something within QC to identify that the price and fundamentals are not currency matched and to auto correct. 

I'll leave this thread up in case someone else can chime in, but otherwise looks like I'll have to filter by location.

Hi Big mak,

There is currently no way to determine the currency of the CashAndCashEquivalents besides checking the country ID of the security.

Best,
Derek Melchin

Thanks for the response Derek.