Federal Open Market Committee Meeting Effect on US Dollar

1from AlgorithmImports import *
2from pandas.tseries.offsets import BDay
3class FederalOpenMarketCommitteeMeetingEffectUSDollar(QCAlgorithm):
4def initialize(self):
5 self.set_start_date(2004, 1, 1)
6 self.set_cash(100_000)
7 
8 # fed days
9 csv_string_file: str = self.download('data.quantpedia.com/backtesting_data/economic/fed_days.csv')
10 dates: List[str] = csv_string_file.split('\r\n')
11 dates: List[datetime.date] = [(datetime.strptime(x, "%Y-%m-%d") - BDay(1)).date() for x in dates]
12 # import futures data 
13 data: Security = self.add_data(QuantpediaFutures, "ICE_DX1", Resolution.DAILY)
14 data.set_fee_model(CustomFeeModel())
15 self.symbol: Symbol = data.symbol
16 self.close_next_day: bool = False
17 self.schedule.on(self.date_rules.on(dates), self.time_rules.at(0, 0), self.day_before_fed)
18 self.schedule.on(self.date_rules.every_day(self.symbol), self.time_rules.at(0, 0), self.rebalance)
19
20def day_before_fed(self) -> None:
21 if self.time.date() >= QuantpediaFutures.get_last_update_date()[self.symbol.value]:
22     return
23 if not self.portfolio[self.symbol].is_short:
24     self.set_holdings(self.symbol, -1)
25     
26def rebalance(self) -> None:
27 if self.close_next_day:
28     self.liquidate(self.symbol)
29     self.close_next_day = False
30 if self.portfolio[self.symbol].is_short:
31     self.close_next_day = True
32# Custom fee model
33class CustomFeeModel(FeeModel):
34def GetOrderFee(self, parameters):
35 fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
36 return OrderFee(CashAmount(fee, "USD"))
37 
38# Quantpedia data.
39# NOTE: IMPORTANT: Data order must be ascending (datewise)
40class QuantpediaFutures(PythonData):
41_last_update_date: Dict[str, datetime.date] = {}
42@staticmethod
43def get_last_update_date() -> Dict[str, datetime.date]:
44return QuantpediaFutures._last_update_date
45def GetSource(self, config:SubscriptionDataConfig, date:datetime, isLiveMode:bool) -> SubscriptionDataSource:
46 return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
47def Reader(self, config:SubscriptionDataConfig, line:str, date:datetime, isLiveMode:bool) -> BaseData:
48 data = QuantpediaFutures()
49 data.Symbol = config.Symbol
50 
51 if not line[0].isdigit(): return None
52 split = line.split(';')
53 
54 data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
55 data['back_adjusted'] = float(split[1])
56 data['spliced'] = float(split[2])
57 data.Value = float(split[1])
58 # store last update date
59 if config.Symbol.Value not in QuantpediaFutures._last_update_date:
60     QuantpediaFutures._last_update_date[config.Symbol.Value] = datetime(1,1,1).date()
61 if data.Time.date() > QuantpediaFutures._last_update_date[config.Symbol.Value]:
62     QuantpediaFutures._last_update_date[config.Symbol.Value] = data.Time.date()
63 return data