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Published 20 hours ago • verified publisher icon QuantConnect

Add Fundamental History Method to Backtester

Open DerekMelchin opened this issue 5 years ago • 6 comments

Expected Behavior

History requests for fundamental data is implemented in both the research and backtesting environment.

Actual Behavior

History requests for fundamental data is not implemented in the backtesting environment.

Potential Solution

Add fundamental history method to backtesting environment.

Reproducing the Problem

Try requesting historical fundamental data in the backtesting environment.

System Information

Windows 10.

Checklist

  • [x] I have completely filled out this template
  • [x] I have confirmed that this issue exists on the current master branch
  • [x] I have confirmed that this is not a duplicate issue by searching issues
  • [x] I have provided detailed steps to reproduce the issue

DerekMelchin avatar Oct 28 '20 22:10 DerekMelchin

Any update on this?

fishstoryyy avatar Jun 27 '21 22:06 fishstoryyy

I'd also like this feature. Any update?

kfeldspar avatar Jun 30 '21 19:06 kfeldspar

Any update on this?

violet-day avatar Jul 31 '21 04:07 violet-day

Coming up on one year of this being open. Can we get this done pretty please? ?????

gjkendall avatar Aug 12 '21 18:08 gjkendall

Any progress on this? Happy to help!

grocco avatar Apr 29 '22 10:04 grocco

This would be very helpful! importing quantbook is quite slow

tmcdonough avatar Jun 08 '22 20:06 tmcdonough

I would be happy to help here!

jensakut avatar Oct 17 '22 19:10 jensakut

This would be a very useful addition, especially since the using the GetFundamental qb method does not seem to work from the fine selection method (I want to warm up some rolling windows using historical fundamental data). I wonder if this is taking so long because it is not within the agreement with Morningstar?

taglia avatar Dec 17 '22 16:12 taglia

  • Rip out Fine Fundamental data source.
  • Convert MorningStar to be a normal 1D alternative data source, linked to underlying assets.
  • Add Shardar as a second 1D alternative data source,
  • Adding fine universe data then is "just another alternative dataset" and 100x faster.
  • History for alternative datasets would work as others do already.

jaredbroad avatar Feb 16 '23 21:02 jaredbroad

Would love to see this implemented as I will use it immediately and am waiting on it.

gjkendall avatar Feb 26 '23 04:02 gjkendall

This feature would be so useful, can't wait to see it working.

gregor-vi avatar May 30 '23 08:05 gregor-vi

Congrats team; thank you for the patience community 🙏

It's in production on QC's website with an 8-10x speed increase. We'll publish its documentation today—a formal announcement next week.

jaredbroad avatar Oct 27 '23 13:10 jaredbroad