How do I reference Morningstar Data? by Crissi Wells

Crissi Wells

, edit

Still trying to reach previous earnings dates for backtesting purposes. I see under the Data tab on your header bar, there is Fundamentals data (for the United States) that is provided by Morningstar. On that page, I see an EarningReports group, with FileDate as an option. How do I reference this???? Does it come in with

AddSecurity(SecurityType.Equity, symbol, Resolution.Daily);

If so, how do I reference it? Securities["symbol"].EarningReport.FileDate

Update Backtest

11 Comments

Crissi Wells

, ,

Accepted Answer

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Crissi Wells

328 ,

For debugging purposes, how would i log (or display) the next earnings date? The following gives error messages. I'm sure I'm not defining or accessing it correctly.

Debug("The next earnings date is " + Securities["symbol"].EarningReport.FileDate)

Alexandre Catarino

In QuantConnect/Lean, we deal with different types of data.
Securities[Symbol] is a Security object. It does not have fundamental information.

The objects that have fundamental information can only be accessed with a method that as argument of the AddUniverse:

// In Initialize:

AddUniverse(CoarseSelectionFunction, FineSelectionFunction);

In this case, the FineSelectionFunction method. There we can loop thought the fine enumerable and display the earnings date:

public IEnumerable<Symbol> FineSelectionFunction(

    IEnumerable<FineFundamental> fine)

{

    foreach (var x in fine)

    {

        Debug("The earnings were filed on " +

            x.EarningReport.FileDate);

    }



    return fine

        .OrderByDescending(x => x.ValuationRatios.PERatio)

        .Take(NumberOfSymbolsFine)

        .Select(x => x.Symbol);

}

Alexandre Catarino

Let me add that we agree it should have access like that, since some strategies do need/use fundamental outside the scope of universe selection.

We've added this feature to our TODO list. ;-)

Crissi Wells

328 ,

Thanks (again) Alexandre! I'm a veteran trader, but new to C#. I appreciate the extended explanation! I feel like a kid in a candy store with these backtesting opportunities!

Liquidgenius

7k ,

Hi, in terms of the earnings report filing dates, I noticed your code uses past tense...

Debug("The earnings were filed on " + x.EarningReport.FileDate)

Are future file dates also included in the Morningstar data, and if so how far ahead? At minimum I am just looking to access the next date for any particular asset. Thanks in advance! @Alexandre Catarino

Tim De Lise

1.3k ,

Alexandre Catarino is there a reference document that lists all of the fundamental data available? I can't seem to find one for QuantConnect?

Jared Broad

Its in the data link in the page header under fundamentals.

Tim De Lise

1.3k ,

OK I found it, here it is: QuantConnect Morningstar Fundamentals Reference

Goofball

316 ,

Alexandre,

I wanted to check in on the feature on your TO DO list i.e. making the fundamental data accessible outside the universe selection so that it can be used in strategies as well. Has that feature already been added or will it be released in the near future?

I am particularly looking to have access to the industry data for the symbols in my universe.

Shile Wen

STAFF ,

Hi Goofball,

We now receive fundamental data in the Security object if we have a Fundamentals based Universes. For a basic example, please see the attached backtest. Furthermore, documentation is currently being fleshed out for this new feature.

Best,
Shile Wen

Goofball

316 ,

Thanks Shile. This is a super useful feature!

Crissi Wells

, , edit

Update Backtest

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