How to get Fundamentals in Backtesting outside of CourseGrainSelector and FineGrainSelector in C# by Daniel Root

Daniel Root

, edit

I would like to use fundamentals data for purposes other than selecting stocks (ie as inputs in ML). I see in the docs how to select stocks based on fundamentals, but not how to access fundamental values. In my testing, Securities["SPY"].Fundamentals are always null.

For example, inside a schedule function:

Securities["SPY"].Fundamentals.ValuationRatios.PERatio

...throws a nullreferenceexeption. Is there some other step I need to take to populate Fundamentals in this scenario?

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3 Comments

Daniel Root

, ,

Accepted Answer

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Alexandre Catarino

Hi Daniel,
The Fundamentals member in the Security object is only set in a Universe Selection algorithm.
In this case, do you have

AddUniverse(CourseGrainSelector, FineGrainSelector)

in Initialize?

Could please attach an algorithm that reproduced the issue?
Note: comment out this statement Securities["SPY"].Fundamentals.ValuationRatios.PERatio

I am assuming that the Security.Fundamentals object is null for every security, because SPY, being an ETF, does not have Fine Fundamental data.

Daniel Root

71 ,

Thanks for the reply. I understand I can access fundamentals inside of a Course or Fine selector, but I am wanting to access them in a different context- inside a Schedule.On or OnData- so that I can use the latest fundamental data as-of a given day in the algorithm. Below is a sample. I've commented out " //(double)spy.Fundamentals.ValuationRatios.PERatio" because it throws a nullreferenceexception. In this case, I'd like to get the latest PE Ratio of SPY on each date so that I can use it as a signal. I understand some fundamentals may not apply to ETFs, but they do have P/E Ratio, right?

Alexandre Catarino

Hi Daniel,
We need to include a AddUniverse call to pull the Fundamental data.
In the following example, I am only getting data from MSFT (PERatio was always zero for SPY).

// Define the symbol

private Symbol _msft = QuantConnect.Symbol.Create("MSFT", SecurityType.Equity, Market.USA);



// In Initialize

AddUniverse(coarse => new [] { _msft }, fine => new [] { _msft });



// In OnData

Security msft;

if (Securities.TryGetValue(_msft, out msft))

{

    var f = msft.Fundamentals;

	if (f != null && f.ValuationRatios.PERatio > 0)

	    Log($"{Time} :: {f.ValuationRatios.PERatio}");

}

The algorithm you shared is trying to get Fundamentals in Initialize. This procedure will not work since we need at least one data iteration to set up that object.

Daniel Root

, , edit

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