Consumer Price Index Strategy

Hi

Thanks, that is great.  Would you please create a YouTube video explaining the code in more depth?  I guess anyone can make the video, I could even give it a go.  That might make it easier for people to attempt to understand what is happening in it.

Thanks

Well done, and I did give u a reward.  

Hi Derek Melchin cool, is this data being updated or will you integrate this into QC soon? Before everyone jumps ahead writing their own scrapers….

Hi Santa24,

We intend to integrate bls.gov data into QC, but don't have an ETA at this time. For now, members may use the CPIData class in the attached backtest to import the data into algorithms.

Best,
Derek Melchin

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Derek Melchin sounds great. Does the Dropbox file also update with new data so it could be live traded?

Hi Santa24,

No, the Dropbox file should only be used for backtests.

Best,
Derek Melchin

Want to invest in QuantConnect as we build the Linux of quant finance? Checkout our Wefunder campaign to join the revolution.

Hi everyone, i saw that fred CPI data now are in the dataset, I'm I mistaken?

Hi Gianluca Albino 
The CPI data is not currently integrated into the Dataset Market. In the code developed by Derek the data points are fed into the algorithm via a custom data class which takes in data from the Dropbox file.

from data import CPIData
.
.
.
# In Initialize method
self.dataset_symbol = self.AddData(CPIData, "CPIData").Symbol

This piece of code imports data from the data.py file into the main algorithm.

The implementation of data.py is attached below:
 

#region imports
from AlgorithmImports import *
#endregion


class CPIData(PythonData):
# 12-month unadjusted CPI data
# Source: https://www.bls.gov/charts/consumer-price-index/consumer-price-index-by-category-line-chart.htm
# Release dates source: https://www.bls.gov/bls/news-release/cpi.htm


def GetSource(self,
	config: SubscriptionDataConfig,
	date: datetime,
	isLive: bool) -> SubscriptionDataSource:
	return SubscriptionDataSource("https://www.dropbox.com/s/f02a9htg6pyhf9p/CPI%20data%201.csv?dl=1", SubscriptionTransportMedium.RemoteFile)


def Reader(self,
	config: SubscriptionDataConfig,
	line: str,
	date: datetime,
	isLive: bool) -> BaseData:


	if not (line.strip()):
		return None


	cpi = CPIData()
	cpi.Symbol = config.Symbol


	try:
		def parse(pct):
			return float(pct[:-1]) / 100


		data = line.split(',')
		cpi.EndTime = datetime.strptime(data[0], "%m%d%Y %H:%M %p")
		cpi["month"] = data[1]
		cpi['all-items'] = parse(data[2])
		cpi['food'] = parse(data[3])
		cpi['food-at-home'] = parse(data[4])
		cpi['food-away-from-home'] = parse(data[5])
		cpi['energy'] = parse(data[6])
		cpi['gasoline'] = parse(data[7])
		cpi['electricity'] = parse(data[8])
		cpi['natural-gas'] = parse(data[9])
		cpi['all-items-less-food-and-energy'] = parse(data[10])
		cpi['commodities-less-food-and-energy-commodities'] = parse(data[11])
		cpi['apparel'] = parse(data[12])
		cpi['new-vehicles'] = parse(data[13])
		cpi['medical-car-commodities'] = parse(data[14])
		cpi['services-less-energy-services'] = parse(data[15])
		cpi['shelter'] = parse(data[16])
		cpi['medical-care-services'] = parse(data[17])
		cpi['education-and-communication'] = parse(data[18])

		cpi.Value = cpi['all-items']



		except ValueError:
			# Do nothing
			return None


	return cpi

Hi Gianluca Albino 
You can import the file with the code and it should work fine.
Best,
Ashutosh

Do you have tool or script to automatically update the file in dropbox?