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Historical fundamentals data: problem with live trading

My algorithm uses 11 quarters of fundamentals data.
As there is no history() function like for the price data, I have to store the fundamentals in a dict() for the first 3 years.
This is not so bad for backtesting, but leads to the unpleasant result, that - when activated for live trading - the algorithm didn't yet generate any buy signal.

Could you please suggest a workaround?

In an old post, you told, that history() for fundamentals data was definitely a feature you were work on... any progress? Is there a schedule, when this feature will be released?

Quantopian is a great platform, that will be even greater, when support for historical fundamentals data is implemented!
Thanks a lot for your effort!

6 responses

I think the only workaround I can think of is to try to seed your algorithm with the data it requires to startup and trade immediately. This might be a tough proposition, depending on the volume of data you require to access and store given our current tools and architecture.

The good news is that we're actively working on solving this problem for you. I won't commit to a time frame because every forward looking estimate I've ever made has been wrong :) But I do promise that we're currently working hard on this feature.

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Thanks for the info... I'm looking forward to getting the new feature!

By the way, I've seen, there were some improvements in the debugger, but the problem described in this thread is unfortunately still there:
https://www.quantopian.com/posts/what-is-a-run-time-error-32-broken-pipe

Hi Josh,

I agree with Constantino here. I'm trying to work out the Average Return on Equity over 5 years and am really struggling here. I want to be able to use the output as a measure for calculating an outcome.

Any further help here would be great.

You can get some fundamentals (all?) in Pipeline now.

Yes, but as I pointed here:
https://www.quantopian.com/posts/introducing-the-pipeline-api#562e3bc48d7aef6e630006a6
and here:
https://www.quantopian.com/posts/how-to-get-historical-fundamental-data-with-the-pipeline-api
there is still no convenient way to get historical fundamental data with the Pipeline API: You can can retrieve data x-days in the past but it's not possible the get exactly the data of the last x quarters or annual or TTM data.

Sorry I didn't realize John had bumped an old thread. Yes, this is old news.