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Fundamentals by last update

Hi guys,

Does anybody know why I get different outputs from these in research against the backtester?

In Research I am running:

import pandas as pd  
import datetime

fundamentals = init_fundamentals()

today = (datetime.datetime.now()-datetime.timedelta(days=2)).strftime('%Y-%m-%d')  
period_of_interest = (datetime.datetime.now() - datetime.timedelta(days=8)).strftime('%Y-%m-%d')

daily_query = get_fundamentals(query(fundamentals.asset_classification.morningstar_industry_code,  
                                     fundamentals.balance_sheet.total_assets,  
                                      fundamentals.financial_statement_filing.file_date,  
                                      fundamentals.valuation.market_cap)  
                                      .filter(fundamentals.valuation.market_cap > 1)  
                                      .filter(fundamentals.financial_statement_filing.file_date > period_of_interest)  
                                      .order_by(fundamentals.valuation.market_cap.desc())  
                                      .limit(1),  
                                      today)  
print daily_query  

which (running on 25 Aug) I believe gives me the last filing for the largest market cap if it is within 6 days of the 23rd (as in the last full run date available in the back tester)

The output is:

security Equity(8229 [WMT])
morningstar_industry_code 20533079
total_assets 1.9862e+11
file_date 2015-08-18
market_cap 220833020999

In the back tester I am running (23rd to 24th):

import pandas as pd  
import datetime

def initialize(context):  
    pass

def handle_data(context, data):  
    pass

def before_trading_start(context):  
    #today = datetime.datetime.now().strftime('%Y-%m-%d')  
    period_of_interest = (datetime.datetime.now() - datetime.timedelta(days=8)).strftime('%Y-%m-%d')  
    daily_query = get_fundamentals(query(fundamentals.asset_classification.morningstar_industry_code,  
                                         fundamentals.balance_sheet.total_assets,  
                                         fundamentals.financial_statement_filing.file_date,  
                                         fundamentals.valuation.market_cap  
                                        )  
                                      .filter(fundamentals.valuation.market_cap > 1)  
                                      .filter(fundamentals.financial_statement_filing.file_date > period_of_interest)  
                                      .order_by(fundamentals.valuation.market_cap.desc())  
                                      .limit(1)  
                                   )  
    print daily_query  
    update_universe(daily_query.columns.values)  

There is no output to the log and I do not appear to have any securities in my universe. Does anyone know what I am not understanding about how it works?

2 responses

The issue you are running into is your use of datetime.datetime.now() in the backtest, we feed you the current datetime with the get_datetime() method. Replace datetime.datetime.now() with get_datetime() and you should start seeing results.

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Thanks Christopher - I knew I was being stupid but didn't know how