US Company Fundamentals

Name: US Company Fundamentals
Creator: SEC EDGAR

Available

Point-in-time income statement, balance sheet and cash flow figures from every 10-K and 10-Q.

One row for every 10-K and 10-Q a company files with the SEC, built from the XBRL financial data in EDGAR. Each row holds about 30 normalized fields: revenue, margins, earnings per share, cash flow and the main balance sheet lines.

The data is point-in-time. A row reaches your algorithm when the filing became public, with the values the company reported then. Restatements arrive later as their own rows and never rewrite history, so backtests see what investors could actually see.

Original source ↗

How the data works

Rows become available at 17:30 New York time on the filing date. EDGAR dates a filing accepted after 17:30 as the next business day, so this is never earlier than the real release, and up to a day later.
Income statement fields cover the filing's quarter (10-Q) or full year (10-K). Cash flow fields ending in _ytd are fiscal year to date, as companies report them.
Amendments (10-K/A, 10-Q/A) arrive as new rows on their own filing date.
A field the filing doesn't report is None. Banks and insurers, for example, have no gross profit.
Tickers resolve through SEC's list of current tickers. For a delisted or renamed company, pass its CIK instead, for example "1288776" for Google before Alphabet.

Fields

36 columns

Field	Description
available_time	When the row becomes visible to an algorithm: 17:30 New York time on the filing date
accession	SEC accession number of the filing, unique per filing
form	10-K, 10-Q, 10-K/A or 10-Q/A
fiscal_year	Fiscal year the company assigns to the filing
fiscal_period	FY, Q1, Q2 or Q3
period_end	Last day of the period the filing reports
revenue	Revenue for the quarter (10-Q) or year (10-K)
cost_of_revenue	Cost of revenue for the period
gross_profit	Gross profit for the period
research_and_development	Research and development expense for the period
selling_general_admin	Selling, general and administrative expense for the period
operating_income	Operating income or loss for the period
interest_expense	Interest expense for the period
pretax_income	Income before income taxes for the period
income_tax	Income tax expense or benefit for the period
net_income	Net income or loss for the period
eps_basic	Basic earnings per share for the period
eps_diluted	Diluted earnings per share for the period
weighted_shares_basic	Weighted average basic shares for the period
weighted_shares_diluted	Weighted average diluted shares for the period
dividends_per_share	Dividends declared per share for the period
operating_cash_flow_ytd	Cash from operations, fiscal year to date
capex_ytd	Purchases of property, plant and equipment, fiscal year to date
depreciation_ytd	Depreciation and amortization, fiscal year to date
dividends_paid_ytd	Dividends paid, fiscal year to date
buybacks_ytd	Share repurchases, fiscal year to date
cash	Cash and cash equivalents at period end
receivables	Accounts receivable at period end
inventory	Inventory at period end
current_assets	Total current assets at period end
total_assets	Total assets at period end
current_liabilities	Total current liabilities at period end
total_liabilities	Total liabilities at period end
long_term_debt	Long-term debt at period end
shareholders_equity	Shareholders' equity at period end
shares_outstanding	Common shares outstanding, from the filing's cover page

Example algorithm

Use in a new project

# region imports
from AlgorithmImports import *
# endregion
from lean_platform_data import SecFundamentals


class FundamentalsAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2014, 1, 1)
        self.set_end_date(2021, 1, 1)
        self.aapl = self.add_equity("AAPL", Resolution.DAILY).symbol
        # A ticker or a CIK. Rows arrive at 17:30 New York time on the filing date.
        self.fundamentals = self.add_data(SecFundamentals, "AAPL").symbol

    def on_data(self, slice):
        if self.fundamentals in slice:
            f = slice[self.fundamentals]
            self.debug(f"{f.form} {f.fiscal_period} {f.period_end}: revenue {f.revenue}, EPS {f.eps_diluted}")
            if f.net_income and f.revenue and f.net_income / f.revenue > 0.2:
                self.set_holdings(self.aapl, 1)
            else:
                self.liquidate(self.aapl)