Boot Camp: (#12) Sector Weighted Portfolio Construction

With the only changes to the code

       self.SetStartDate(2017, 1, 12) 
       self.SetEndDate(2022, 1, 12) 
       self.SetCash(1000000)

I got Error Message:

Runtime Error: AttributeError : 'NoneType' object has no attribute 'AssetClassification'
 at OnSecuritiesChanged
   sectorCode = security.Fundamentals.AssetClassification.MorningstarSectorCode
===
  at Python.Runtime.PyObject.Invoke(PyTuple args in main.py: line 74

Hi Vladimir,

I also do get that error. It seems to mean that there is a bug in the data somewhere such that HasFundamentalData is true BUT Fundamentals returns None.

That can be prevented by changing OnSecuritiesChanged with this code:

def OnSecuritiesChanged(self, algorithm, changes):
        for security in changes.AddedSecurities:
            sectorCode = security.Fundamentals.AssetClassification.MorningstarSectorCode if security.Fundamentals else None
            if sectorCode:
	            if sectorCode not in self.symbolBySectorCode:
    	            self.symbolBySectorCode[sectorCode] = list()
        	    self.symbolBySectorCode[sectorCode].append(security.Symbol) 

        for security in changes.RemovedSecurities:
            sectorCode = security.Fundamentals.AssetClassification.MorningstarSectorCode if security.Fundamentals else None
            if sectorCode and sectorCode in self.symbolBySectorCode:
    	        symbol = security.Symbol
        	    if symbol in self.symbolBySectorCode[sectorCode]:
            	    self.symbolBySectorCode[sectorCode].remove(symbol)

        super().OnSecuritiesChanged(algorithm, changes)

It is time-consuming to debug and know which asset is affected as coarse uses CoarseFundamental objects and then the symbols you output are used to create Security objects which have the Fundamentals attribute…..

But the backtest should be submitted to support@quantconnect.com in my opinion so they can pinpoint the offending assets and fix them.

Fred