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Add FXMacroData market data source - #55

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roberttidball wants to merge 2 commits into
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roberttidball:agent/add-fxmacrodata-integration
Open

Add FXMacroData market data source#55
roberttidball wants to merge 2 commits into
ScottfreeLLC:masterfrom
roberttidball:agent/add-fxmacrodata-integration

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@roberttidball

@roberttidballroberttidball commented Jul 8, 2026

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Summary

This keeps the FXMacroData integration inside AlphaPy's existing MarketFlow dispatch path and moves the transport/parser into a small dedicated module.

The adapter accepts six-letter FX pairs, paginates daily observations, preserves returned OHLC values, falls back to the reference value when needed, and returns AlphaPy's normal OHLCV DataFrame. Intraday input is rejected rather than silently misrepresented.

Scope

FXMacroData capabilityStatus
CatalogueNot part of MarketFlow's OHLCV contract
Macro historyNot an OHLCV feed
Release calendarNot an OHLCV feed
PredictionsNo native feature contract in this change
Macro newsNo text feed contract
FX historyNative MarketFlow adapter
Market sessionsIntraday sessions are unsupported
COTNot an OHLCV feed
CommoditiesOutside the FX-pair adapter
SeasonalityNo native feature contract in this change

FX history normally requires FXMACRODATA_API_KEY or FXMD_API_KEY; no key is stored in the repository.

Validation

  • python -m pytest tests/test_fxmacrodata_data.py -q — 3 passed
  • Python compilation and git diff --check
  • credential and internal-path scan: no findings

I own FXMacroData and am contributing this adapter directly.

@roberttidball
roberttidball marked this pull request as ready for review August 26, 2026 02:24
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@roberttidball