In data guide i found we can get data from financial statement，but when i use ‘field=total shares’ i can’t get any data.
The data guide is a general guide for the platform. Even if this data exist on the platform, for the S&P competition, you cannot use equity fundamental data as per competition rules; You can only use open high low close adjusted close(called bb_live) volume. Only 6 fields. Sourcing extra data is not allowed. Instead, you can engineer new features from available data.