Morningstar US Fundamentals: state that SecurityReference status/delisting fields (and classification) are current values, not point-in-time

[AlexCatarino]

Summary

The US Fundamental Data (Morningstar) pages do not state that the SecurityReference status fields are current reference values stamped onto every historical daily snapshot, not point-in-time values. Users qualifying point-in-time universe selection read share_class_status on a historical date and treat D (Deactive) as "delisted as of that date", which silently excludes every later-delisted company at formation time.

What we observed (LEAN 2.5.0.0.18057, cloud backtest, history[Fundamental](symbol, 2005-01-01, 2024-01-01))

ticker	rows	security_reference.share_class_status	security_reference.delisting_date
CELG (delisted 2019-11-21)	3748 (2005-01-04 .. 2019-11-21)	D on every row	2019-11-26 on every row, including 2005
TWTR (delisted 2022-10-28)	2260 (2013-11-08 .. 2022-10-29)	D on every row	2022-10-28 on every row
AAPL	4781	A on every row	none
XOM	4781	A on every row	none

The explicit FundamentalService.Get<string>(date, sid, FundamentalProperty.SecurityReference_ShareClassStatus) route returns the same: CELG is D on 2010-06-30, 2015-06-30, 2019-06-28 and 2019-11-20, and null from 2019-11-21 (no snapshot after the last trading day). delisting_reason, company_status, is_primary_share (TWTR: False on every row) and exchange_id behave the same way. This is consistent with the earlier finding that the sector / industry codes are today's assignment backfilled across history (see QuantConnect/Lean#9777's discussion of provenance).

Field definition in Lean: Common/Data/Fundamental/Generated/SecurityReference.cs (ShareClassStatus, Morningstar DataId 1014: "(A) Active, (D) Deactive, (I) Inactive, or (O) Obsolete").

Proposed documentation change

On 03 Writing Algorithms/14 Datasets/04 Morningstar/01 US Fundamental Data (Introduction and/or Data Point Attributes), add a short note along the lines of:

The financial statement and earnings-report values are as-originally-reported per snapshot date. The reference and classification fields (security_reference.share_class_status, delisting_date, delisting_reason, company_status, is_primary_share, exchange_id, and the asset_classification sector/industry codes) are Morningstar's current values and are the same on every historical snapshot. Do not use them to decide historical membership; a company delisted in 2019 reads D with its 2019 delisting date on its 2005 rows. For point-in-time membership use the daily universe itself (history[Fundamentals] / universe_history, which include later-delisted companies) and the Delisting events for cessation dates.

Optionally cross-link this from the Fundamental Universes page, which is where users build formation-date selections.

Open question for the data team

Whether Morningstar supplies effective-dated status / delisting history that could be written into the daily files instead. If so, this becomes a data change rather than a docs note.

Intercom conversation: 215475854522100.