Morningstar is planning to release a set of changes to its fundamental dataset starting on April 1st, 2018. There are three categories of changes they are releasing that may impact your algorithm:
(1) Some fields are being entirely removed by the vendor. These fields are no longer being supported because they had low usage by Morningstar customers.
How this might affect you: If your strategy references these fields, it will no longer be able to run after April 1st. We will soon start surfacing deprecation warnings in the IDE to let you know, and you can adjust your strategy.
(2) Some fields are being removed by the vendor because there is a duplicate field that surfaces similar data.
How this might affect you: We will map these fields on our backend to the active, duplicate field. Your algorithm will continue to run. You will see a deprecation warning in the IDE, explaining that the field you're accessing is no longer active with a suggestion to convert to the active sibling field.
(3) Some fields are being recalculated because more granular data is available or the formula is being adjusted to be more aligned with industry standards.
How this might affect you: Most fields should see similar values, but this may differ from field to field. Depending on how your algorithm accesses the data, using the last known value or a historical lookback window, it may see a regime change around April 1st when the new data starts to surface. In the IDE you will also see a message soon about the upcoming adjustment.
Attached to this post is a notebook with a list of fields per category. You can check if your strategies reference any of the identified datapoints. From our research, most strategies don't use the fields slated for removal and should continue to run. The QTU and the risk model won't be affected by this update.
Generally, we always prefer to give you ways to test your strategies in advance when changes like this happen. Unfortunately, we won't be able to do so here. The old vs new data won't be available concurrently for testing, and will be cutover by the vendor on April 1st. We are still working to assess category #3, the differences in magnitude for fields being recalculated, to confirm the expectation that the old vs new values will be similar. We will certainly keep you updated as we learn more.
We will be emailing people in the contest if they might be impacted by the upcoming transition. And are always available for any questions.