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In the attached notebook the market cap and EV do not update every day. I have a couple of days outlined to demonstrate this in the notebook (backtest is just dummy code, but I did initially discover this through a different backtest) - these stagnant values continue from mid-May to the present, and it seems to happen for every stock during these times. Another time period where this happens is April 26th 2021 to April 29th 2021.
But during other time periods, the market cap and EV seem to update frequently. What's going on here? Shouldn't it always update daily?
Varad Kabade
Hi Big mak,
The majority of the fundamental data update occurs once per month. This includes updates to all of the key information for each security Morningstar supports. Also, as Morningstar data arrives, it updates the master copy and is passed into your algorithm, similar to how TradeBars are fill-forwarded in your data feed. So if there have been no updates this week, you'll receive the same fundamental data. Refer to this doc for more information.
Best,
Varad Kabade
Big mak
The monthly update doesn't seem to be the case for EV and market cap. Sometimes they update everyday, other times they don't update for weeks. You can play with the dates in my original post via the notebook.Â
Since the data does update daily for many periods, I am inclined to believe that there's an issue somewhere. It seems unlikely that Morningstar calculates market cap daily for some time periods but not for others, but I guess it's a possibility.
In the meantime I'll just make my own values for it, but would be great if this could be looked into further. EV and market cap are very basic items which lots of QC users are likely using, and a trading strategy built on EV or market cap may be rendered useless if the data updates inconsistently.
Jared Broad
MS data is daily during the month and monthly for previous months.
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Big mak
Thanks Jared, just tested some numbers and that seems to generally hold true - I can now build a workaround myself. I still think a simple, QC native way to get marketcap and EV (daily) would be a good future idea.
Big mak
Actually - that still doesn't explain why  May 13th 2021 to present (June 28th 2021) has the same values for market cap.Â
Based on what you said, I would expect most of May to have the exact same value, but this isn't the case since the values from May 13th onwards are stagnant. I would also expect the current market cap (June 28) to be roughly accurate, but that also isn't the case - it shows the May 13 value.
Louis Szeto
Hi Big mak
We've created a Data Issue to have MSFT fundamental data followed up by the data team. Subscribe to our progress here.
Best,
Louis Szeto
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Big mak
Thanks Louis. See my comment in the thread you made - the issue is not just MSFT. It's every stock.
Big mak
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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