The US Interest Rate dataset provides the primary credit rate from the Federal Open Market Committee (FOMC). The data starts in January 2003 and is updated on a daily frequency. This dataset is created using information from the FOMC meetings.

The Federal Reserve Bank of St. Louis, often referred to as the St. Louis Fed, is one of the 12 regional banks that make up the United States Federal Reserve System. It is responsible for the Eighth Federal Reserve District, which includes the states of Arkansas, Illinois, Indiana, Kentucky, Mississippi, Missouri, and Tennessee, as well as portions of eastern Kansas and southern Illinois.

The St. Louis Fed, like other regional banks, participates in the formulation and implementation of monetary policy in the United States. It contributes to the Federal Open Market Committee (FOMC) meetings, where key decisions regarding interest rates and other monetary policy tools are made.

The following snippet demonstrates how to access data from the US Interest Rate dataset:

interest_rate = self.risk_free_interest_rate_model.get_interest_rate(self.time)

var interestRate = RiskFreeInterestRateModel.GetInterestRate(Time);

To find the average interest rate between two dates, call the GetRiskFreeRate method.

avg_risk_free_rate = RiskFreeInterestRateModelExtensions.get_risk_free_rate(
    self.risk_free_interest_rate_model, 
    self.time-timedelta(365), self.time
)

var avgRiskFreeRate = RiskFreeInterestRateModel.GetRiskFreeRate(Time.AddDays(-365), Time);

The following table describes the dataset properties:

The US Interest Rate dataset provides an important economic indicator. Examples include the following applications:

• Accurately calculating indicators that are a function of the risk free rate, like Sharpe ratios.
• Forming a portfolio of assets that have a history of outperforming when the rate is increasing/decreasing.
• Canceling orders in a Risk Management model when the expected return of the asset is less than the risk-free rate.

For more example algorithms, see Examples.

You don't need any special code to request US Interest Rate data. QCAlgorithm automatically subscribes to the data by setting its default risk free interest rate model.

To get the current US Interest Rate data, call the GetInterestRateget_interest_rate method of the RiskFreeInterestRateModel object with the current time.

interest_rate = self.risk_free_interest_rate_model.get_interest_rate(self.time)

var interestRate = RiskFreeInterestRateModel.GetInterestRate(Time);

To get the average risk free interest rate for a window of time, call the GetRiskFreeRateget_risk_free_rate method with the start date and end date.

risk_free_rate = RiskFreeInterestRateModelExtensions.get_risk_free_rate(
    self.risk_free_interest_rate_model, 
    self.time-timedelta(365), self.time
)

var riskFreeRate = RiskFreeInterestRateModel.GetRiskFreeRate(Time.AddDays(-365), Time);

To get the average risk free interest rate for a set of dates, call the GetAverageRiskFreeRateget_average_risk_free_rate method with the list of dates.

risk_free_rate = RiskFreeInterestRateModelExtensions.get_average_risk_free_rate(
    self.risk_free_interest_rate_model, 
    [self.time, self.time-timedelta(180), self.time-timedelta(365)]
)

var riskFreeRate = RiskFreeInterestRateModel.GetAverageRiskFreeRate(
    new [] {Time, Time.AddDays(-180), Time.AddDays(-365)}  
);

LEAN CLI is a cross-platform wrapper on the QuantConnect algorithmic trading engine called LEAN. The CLI makes using LEAN incredibly easy, reducing most of the pain points of developing and managing an algorithmic trading strategy to a few lines of bash.

Using the CLI you can download the same data QuantConnect hosts in the cloud for a small fee. These fees are per file downloaded, and are paid for in QuantConnect-Credits (QCC). We recommend purchasing credits to enable downloading.

The CLI command generator is a helpful tool to generate a copy-paste command to download this dataset from the form below.

lean data download \
	--dataset "US Interest Rate" 

lean data download `
	--dataset "US Interest Rate"