In December, we introduced a key new feature: the availability of fundamental data from Morningstar directly within Quantopian. Upon announcement, you could use 600+ metrics covering US companies in your algorithms to screen companies dynamically.
At launch in December, this feature was restricted to backtesting. No live trading (Quantopian paper trading or broker trading) was yet allowed.
Good news — we are beginning to remove these restrictions.
And most importantly, by extension, you can enter the Quantopian Open contest with algorithms which use fundamentals.
Some detailed notes on this change:
before_trading_start() is scheduled to run every market day at 8:45AM, ET.
We don’t yet allow you to use fundamentals with broker live trading. We are working on this feature right now and I’ll update this thread when it is ready.
This release has fixed an issue in the data in which get_fundamentals() returned too few companies. Special thanks to Charles Cheng for pointing this out to us.
And most importantly, working on this release revealed a significant bug which we have now fixed. The impact of the bug was that get_fundamentals() could expose fundamental data one day early, resulting in a look-ahead bias in our backtesting. To be clear, this didn’t impact all algorithms or even all algorithms using fundamentals. We’d encourage you to revisit your old backtests using fundamentals if these bugs are a concern and of course I’m happy to answer questions on the topic.
I know lots and lots of you have been itching to use fundamentals in the contest. I’m excited to say that you can now.