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Hello!
I noticed while trying to retrieve the latests earnings FileDate in the research environment, that the Earnings Reports data for the latest earnings (that happen just few days ago for the securities I tested) is still not present.
Is this because not “enough” days have passed already?
If so..
Would this be the case also while running a backtest (i.e the Fundamentals property of a Security would not have the latest EarningReport until few days later)?
Would this be the case also live?
If so, how long after the actual FileDate can we expect the Earning Reports to be available in the Fundamentals property of a Security?
Last but not least, if such a delay exists, and we are only able to retrieve this information ~X days after the FileDate, is this delay also present while backtesting? Because if the delay was not present while backtesting, and I was to implement a strategy that relied on the availability of that piece of information, I would end up having an unrealistic backtest, because when live I would only get that piece of information ~X days later.
Note: I tried to access the Fundamentals property of a Security in the research environment but it was giving me None.
Looking forward to hear your thoughts, and hopefully point me to where I got something wrong :)
Varad Kabade
Hi R G Quant,
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
R G Quant
Hi Varad, Thanks for citing and pointing me to the docs.
I am still not able to answer my question though. I will try to explain the issue with other words.
If the fundamental data is updated only every month as appears from the docs you cite, then Alexandre's answer to this thread would not be correct.
The author of the thread was asking how to avoid Securities that had an Earnings Announcement within the past week and Alexandre suggested filtering securities in the Universe by
Live:
Say the actual earnings announcement date was the 3rd of April and the fundamental data gets updated only later, say the 29th of April. Then the EarningReports.FileDate would be the one of the earlier report up until the 29th of April. As a result, by using the above code, say, the 5th of April, you would include the security in your universe which is what the author of the thread was willing to avoid.
*Question 1: Is the above solution actually working? If so, how come if the data just comes monthly? If the above solution does indeed not work, is there a(nother) solution?
Backtest:
Now imagine the exact situation I described for live above, but during a backtest.
*Question 2: In the backtest's 5th of April, would I find the Earning Announcements in the Fundamentals data, or is the system built in such a way that also in the backtest's time that piece of information would only be available from the (backtest's) 29th of April on? I am referring to the fundamental data available on the Fundamentals property of a Security..And what if we were to use the QuantBook inside the algorithm, would the information taken from there be the one that would have been available on that date?
Louis Szeto
Hi R G Quant
The solution Alex suggests would work as expected. Our Morningstar data pipes daily, while we reprocess the trunk monthly. What Varad suggesting is on the Morningstar side which is out of our control, but QC's data have daily incremental if new data arrives.
Best
Louis
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R G Quant
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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