Basically, I want to know if report was released today and it explains the volatility? I checked in backtesting and it appears that fine.EarningReports.FileDate field is updated on the next day, so if, for example report FileDate was “2021-07-28 00:00:00”, I will only get this value on 2021-07-29 00:00:00, a bit too late for this purpose.
Yuri Lopukhov
Hmm, I'm guessing everyone is publishing reports after market, so is it ok to check if report was published on the previous trading day?
Nico Xenox
Hey Yuri Lopukhov, you could import your tickers into the notebook and try to access the FileDate fundamentals from there, as we still can’t access the fundamental history in the backtester. In the notebook you then could request historical data for T-30 and T+30 or any date you would like.
Another possibility would be (if you have a set of tickers) to request the file date data in the notebook and put it into a dictionary and move it with the objectstore to the backtester…
also you could buy something like estemize or news dataset to get the next filedate. (not sure if that works and if it really is that good)
Best
Nico
Yuri Lopukhov
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