Super Sector, Sector, Group and Industry Mappings by Stevin Chac

Stevin Chac

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Hi all,

I am exploring quantconnect as Quantopian no longer supports live trading.

As part of my research before the switch, I wanted to check if the Super Sector, Sector Group and Industry Mappings provided by Morningstar which is available in Quantopian is also available here.

When i look at the documentation between the 2 morning star pages for metrics available. I am not seeing this mapping available in quantconnect.

Can anyone who is experience with quantconnect confirm?

Terms: Super Sector, Sector, Group and Industry Mappings:

quantopian.com/help/fundamentals
quantconnect.com/data#fundamentals/usa/morningstar
quantconnect.com/lean/docs#topic14760.html

Thanks in advance!

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5 Comments

Stevin Chac

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HanByul P

6.5k ,

Stevin Chac, QC does NOT have 'sector' seletion feature or 'Super Sector' (just like in Quantopian) yet (Only has 'Industry' selections, which does not help much.). I saw some other people also asked about this. For now, the only way is to do this manually. Let's ask QC' staffs for this.

Hi Jared, Can you add Morningstar's 'Sector' feature here into QC's fundamental data selection? If we could have this feature, it would be a lot helpful to many people. Thanks a lot.

Michael Manus

9.5k ,

i only found this :

CompanyReference.IndustryTemplateCode

# select stocks with top dollar volume in every single sector

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/ConstituentsQC500GeneratorAlgorithm.py#L96https://github.com/QuantConnect/Lean/blob/26c46cb18209751272035d22abd3d7f6ea23c03f/Common/Data/Fundamental/Generated/CompanyReference.cs#L110

/// <summary>/// This indicator will denote which one of the six industry data collection templates applies to the company. Each industry data/// collection template includes data elements that are commonly reported by companies in that industry. N=Normal/// (Manufacturing), M=Mining, U=Utility, T=Transportation, B=Bank, I=Insurance/// </summary>/// <remarks>/// Morningstar DataId: 11/// </remarks>[JsonProperty("11")]

public string IndustryTemplateCode { get; set; }

Jimmy Hendricks

9 ,

Jared Broad is there any movement on a possible solution to this? I'm also moving to QC from Quantopian and sector risk is significant part of my algos. Should we work on bringing in our own custom data for this?

Thanks!

Jack Simonson

Hi All,

We have purchased this data and it is being processed right now. Once our new system is deployed, it will be available in the Fundamental Data Library, hopefully in the next week or two.

Apollos Hill

9.2k ,

Hi @Jimmy Hendricks what asset class do you live algo trade? I trade forex.

Stevin Chac

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