Add macro events data pipeline (FOMC, CPI, NFP) - #1
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kedar-chintalapati wants to merge 1 commit into
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kedar-chintalapati wants to merge 1 commit into
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Build modular events package (src/data/events/) with hardcoded historical calendars for FOMC meetings (57 dates), CPI releases (84 dates), and NFP/jobs reports (84 dates), covering 2020-2026. Each module provides date collection + distance helpers (days_to_next, days_since_last, in_window). Unified module merges all sources and exposes get_macro_event_features() for the ML feature builder. Also adds collection runner script, 38 tests (all passing), and re-exports new functions from fetch_events.py for backwards compat. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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##Summary
Adds the full macro events data infrastructure from the "Event Data TODO" in AGENTS.md.
This gives us the event calendars needed for the core thesis — testing whether BS mispricing
is systematic around macro events.
What's new
src/data/events/package — FOMC (57 dates), CPI (84), NFP (84), earnings, unified calendarscripts/collect_events.py— CLI runner with --force, --start, --end, --tickers flagstests/test_events.py— 38 tests, all passingsrc/data/fetch_events.py— updated to re-export new functions for backwards compatHow to generate the data CSVs (they're gitignored)
After pulling this branch, run:
uv run python scripts/collect_events.py --force
Or use the zip I'll share separately — it has the pre-built CSVs.
TODO items addressed