About Economic Events
The Economic Events dataset, provided by EODHD, offers daily alerts for major economic events or announcements of global markets within the upcoming 7 days, with estimation and previous record if available. The data starts in January 2019, and is delivered on a daily frequency.
About EOD Historical Data
EODHD was a France financial data provider founded in April 2015. They focus on providing clean financial data, including stock prices, splits, dividends, fundamentals, macroeconomy indicators, technical indicators, and alternative data sources, through 24/7 API seamlessly.
About QuantConnect
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
Algorithm Example
class EODHDEconomicEventsAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2019, 1, 1)
# Use industrial sector ETF as a vehicle to trade.
self.equity_symbol = self.add_equity("XLI").symbol
# Request US PMI economic event data to generate trade signals.
ticker = EODHD.Events.UnitedStates.MARKIT_MANUFACTURING_PURCHASING_MANAGERS_INDEX
self.dataset_symbol = self.add_data(EODHDEconomicEvents, ticker).symbol
def on_data(self, slice):
# Trade based on the updated economic events.
if self.dataset_symbol in slice.get(EODHDEconomicEvents):
# Use the Manufacturing Index to generate trade signals on manufacturing industry vehicles.
# Make sure previous and estimate are available to estimate the direction of the industry.
event = slice[self.dataset_symbol].data[0]
if event.previous and event.estimate:
# If the estimated PMI is higher than the previous PMI, the manufacturing ETF price is expected to rise.
if event.previous > event.estimate:
self.set_holdings(self.equity_symbol, 1)
# Otherwise, it is expected manufacturing ETF prices will drop.
else:
self.set_holdings(self.equity_symbol, -1)
Example Applications
The Economic Events dataset provides timely notifications about upcoming economic events, allowing traders to trade the volatility upon that. Examples include the following strategies:
- Long straddle to trade the volatility brought by the economic events.
- Trade market representative ETFs upon estimate figures on the upcoming events.
- Statistical arbitrage on 2 or more correlated global markets based on economic events of different locations.
Pricing
Cloud Access
Using Economic Events data in the QuantConnect Cloud for your backtesting and live trading purposes.
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