To integrate news event data and avoid trading during major news events, such as for NQ futures, you can follow these steps using the QuantConnect platform:

1. Choose a News Data Provider:

   • QuantConnect offers integration with various news data providers like Tiingo or Benzinga. These providers can deliver news events that may impact trading strategies.

2. Create a Custom Data Class:

   • Define a custom data class by extending PythonData. Implement the get_source and reader methods. This class will fetch and parse news data.

     class NewsEvent(PythonData):
       def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live_mode: bool) -> SubscriptionDataSource:
           url = "http://example-news-source-url.com/news.csv"
           return SubscriptionDataSource(url, SubscriptionTransportMedium.REMOTE_FILE)
       def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live_mode: bool) -> BaseData:
           if not line.strip() or not line[0].isdigit():
               return None
           news_event = NewsEvent()
           data = line.split(',')
           news_event.time = datetime.strptime(data[0], "%Y-%m-%d %H:%M:%S")
           news_event.symbol = config.symbol
           news_event.value = data[1]  # e.g., importance or severity score
           return news_event

3. Integrate News Data in Algorithm:

   • Use the AddData() method to integrate the news data source into your algorithm. Define the ticker, resolution, and any other necessary parameters.

     class MyAlgorithm(QCAlgorithm):
       def initialize(self):
           self.set_start_date(2022, 1, 1)
           self.set_end_date(2022, 12, 31)
           self.set_cash(100000)
           self.add_data(NewsEvent, "news", Resolution.HOURLY)
       def on_data(self, data):
           if data.contains_key('news') and data['news'].value > threshold:  # Define the threshold
               self.debug("Significant news event detected. Pausing trading.")
               return
           # Trading logic goes here

4. Creating Event Handlers:

   • Implement event handlers to determine when a news event meets criteria that should halt trading. Set flags or conditions to disable order placement during such times.

5. Testing and Monitoring:

   • Test your algorithm with historical data to ensure it accurately detects relevant news events and halts trading when appropriate.
   • Adjust the news event filtering logic for accuracy and signal processing efficiency based on real-time impacts.

By integrating custom news data into your strategy, you can systematically pause trading during significant market-moving events and potentially enhance your strategy's performance.

Sources: Detecting Impactful News In ETF Constituents, Benzinga News Feed - QuantConnect.com, Tiingo News Feed - QuantConnect.com, US Equities - QuantConnect.com, Custom Data N I F T Y Algorithm

How can I find a news source for the Nasdaq Futures (NQ)? Basically, what URL do I provide? 

Hi QuantHeart

We provide two partnered news datasets for Tiingo and Benzinga. You may also stream/import your own custom source.

Best
Louis