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Add FXMacroData price and macro data integration#1424

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roberttidball wants to merge 6 commits into
AI4Finance-Foundation:masterfrom
roberttidball:agent/fxmacrodata-downloader
Draft

Add FXMacroData price and macro data integration#1424
roberttidball wants to merge 6 commits into
AI4Finance-Foundation:masterfrom
roberttidball:agent/fxmacrodata-downloader

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@roberttidball

@roberttidball roberttidball commented Jul 7, 2026

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Summary

  • keep the FXMacroData daily FX spot downloader and DataProcessor(data_source="fxmacrodata") support
  • add FXMacroDataMacroDownloader for announcements, release calendars, forecasts, and catalogue discovery
  • add processor helpers for macro data, release calendars, predictions, and joining macro features into RL frames
  • update docs and add mocked unit coverage for macro downloads and feature merging

Notes

The macro path exposes FXMacroData's core event surfaces instead of presenting FXMacroData as only a price feed. add_macro_features() can merge announcement values, consensus/forecast fields, surprises, predictions, and release timestamps into price/RL state frames.

Validation

  • .venv\Scripts\python -m py_compile finrl\meta\preprocessor\fxmacrodatadownloader.py finrl\meta\data_processors\processor_fxmacrodata.py unit_tests\downloaders\test_fxmacrodata_downloader.py
  • .venv\Scripts\python -m pytest unit_tests\downloaders\test_fxmacrodata_downloader.py -q (7 passed, 1 upstream dependency warning)
  • .venv\Scripts\python -m black --check finrl\meta\preprocessor\fxmacrodatadownloader.py finrl\meta\data_processors\processor_fxmacrodata.py unit_tests\downloaders\test_fxmacrodata_downloader.py
  • git diff --check

Not run locally: pre-commit (module unavailable in the local .venv).

@roberttidball roberttidball changed the title Add FXMacroData downloader Add FXMacroData price and macro data integration Jul 8, 2026
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