Add FXMacroData market data vendor

findatapy/market/datavendorfxmacrodata.py

@@ -0,0 +1,124 @@
+__author__ = "saeedamen"  # Saeed Amen
+
+#
+# Copyright 2016 Cuemacro
+#
+# Licensed under the Apache License, Version 2.0 (the "License"); you may not
+# use this file except in compliance with the License. You may obtain a copy of
+# the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on a "AS IS" BASIS, WITHOUT
+# WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#
+# See the License for the specific language governing permissions and
+# limitations under the License.
+#
+
+import requests
+
+import pandas as pd
+
+from findatapy.market.datavendor import DataVendor
+from findatapy.util import DataConstants, LoggerManager
+
+
+class DataVendorFXMacroData(DataVendor):
+    """Reads daily FX spot rates from FXMacroData into findatapy."""
+
+    def __init__(self):
+        super(DataVendorFXMacroData, self).__init__()
+
+    def load_ticker(self, md_request):
+        logger = LoggerManager().getLogger(__name__)
+
+        if md_request.freq != "daily":
+            logger.warning("FXMacroData currently supports daily FX spot rates")
+            return None
+
+        tickers = md_request.vendor_tickers or md_request.tickers
+        fields = md_request.fields or ["close"]
+
+        if tickers is None:
+            logger.warning("No FXMacroData tickers specified")
+            return None
+
+        data_frames = []
+
+        for library_ticker, vendor_ticker in zip(md_request.tickers, tickers):
+            frame = self._download_fx_pair(md_request, vendor_ticker, fields)
+
+            if frame is None or frame.empty:
+                continue
+
+            frame.columns = [
+                f"{library_ticker}.{field}" for field in frame.columns
+            ]
+            data_frames.append(frame)
+
+        if len(data_frames) == 0:
+            return None
+
+        data_frame = pd.concat(data_frames, axis=1).sort_index()
+        data_frame.index.name = "Date"
+
+        logger.info(
+            f"Completed request from FXMacroData for {list(data_frame.columns)}")
+
+        return data_frame
+
+    def _download_fx_pair(self, md_request, ticker, fields):
+        base, quote = self._split_pair(ticker)
+        constants = DataConstants()
+        url = (
+            f"{constants.fxmacrodata_base_url}/forex/"
+            f"{base.lower()}/{quote.lower()}"
+        )
+        params = {
+            "start_date": self._format_date(md_request.start_date),
+            "end_date": self._format_date(md_request.finish_date),
+        }
+
+        if md_request.fxmacrodata_api_key:
+            params["api_key"] = md_request.fxmacrodata_api_key
+
+        response = requests.get(url, params=params, timeout=30)
+        response.raise_for_status()
+        rows = response.json().get("data", [])
+
+        if len(rows) == 0:
+            return None
+
+        data_frame = pd.DataFrame(rows)
+        data_frame["Date"] = pd.to_datetime(data_frame["date"])
+        data_frame = data_frame.set_index("Date").sort_index()
+
+        field_map = {}
+
+        for field in fields:
+            field_map[field] = (
+                data_frame["val"]
+                if field in ["open", "high", "low", "close"]
+                else data_frame.get(field)
+            )
+
+        return pd.DataFrame(field_map, index=data_frame.index)
+
+    @staticmethod
+    def _split_pair(ticker):
+        clean_ticker = ticker.replace("/", "").replace("-", "").upper()
+
+        if len(clean_ticker) != 6:
+            raise ValueError(
+                "FXMacroData tickers should be six-letter FX pairs "
+                "such as EURUSD"
+            )
+
+        return clean_ticker[:3], clean_ticker[3:]
+
+    @staticmethod
+    def _format_date(value):
+        if hasattr(value, "strftime"):
+            return value.strftime("%Y-%m-%d")
+
+        return str(value)

findatapy/market/marketdatagenerator.py

@@ -121,6 +121,11 @@ def get_data_vendor(self, md_request):
                 from findatapy.market.datavendorweb import DataVendorFXCM
                 data_vendor = DataVendorFXCM()
 
+            elif data_source == "fxmacrodata":
+                from findatapy.market.datavendorfxmacrodata import \
+                    DataVendorFXMacroData
+                data_vendor = DataVendorFXMacroData()
+
             elif data_source == "alfred":
                 from findatapy.market.datavendorfred import DataVendorALFRED
                 data_vendor = DataVendorALFRED()

findatapy/market/marketdatarequest.py

@@ -115,6 +115,7 @@ def __init__(self, data_source: str = None,
                  fred_api_key: str = None,
                  alpha_vantage_api_key: str = None,
                  eikon_api_key: str = None,
+                 fxmacrodata_api_key: str = None,
                  pretransformation: str = None,
                  vintage_as_index: bool = None,
                  vintage_download: dict = None,
@@ -152,6 +153,8 @@ def __init__(self, data_source: str = None,
             alpha_vantage_api_key = data_constants.alpha_vantage_api_key
         if eikon_api_key is None:
             eikon_api_key = data_constants.eikon_api_key
+        if fxmacrodata_api_key is None:
+            fxmacrodata_api_key = data_constants.fxmacrodata_api_key
         if data_vendor_custom is None:
             data_vendor_custom = data_constants.data_vendor_custom
         if arcticdb_dict is None:
@@ -220,6 +223,8 @@ def __init__(self, data_source: str = None,
                 self.alpha_vantage_api_key = \
                     copy.deepcopy(md_request.alpha_vantage_api_key)
                 self.eikon_api_key = copy.deepcopy(md_request.eikon_api_key)
+                self.fxmacrodata_api_key = \
+                    copy.deepcopy(md_request.fxmacrodata_api_key)
 
                 self.pretransformation = copy.deepcopy(md_request.pretransformation)
                 self.vintage_as_index = copy.deepcopy(md_request.vintage_as_index)
@@ -278,6 +283,7 @@ def __init__(self, data_source: str = None,
             self.fred_api_key = fred_api_key
             self.alpha_vantage_api_key = alpha_vantage_api_key
             self.eikon_api_key = eikon_api_key
+            self.fxmacrodata_api_key = fxmacrodata_api_key
 
             self.pretransformation = pretransformation
             self.vintage_as_index = vintage_as_index
@@ -354,7 +360,7 @@ def data_source(self, data_source):
         try:
             valid_data_source = ["ats", "bloomberg", "dukascopy", "fred", 
                                  "gain", "google", "quandl", "yahoo",
-                                 "boe", "eikon"]
+                                 "boe", "eikon", "fxmacrodata"]
 
             if not data_source in valid_data_source:
                 LoggerManager().getLogger(__name__).warning(
@@ -664,6 +670,12 @@ def date_parser(self, date):
                 except:
                     # logger.warning("Attempted to parse date")
                     pass
+
+                try:
+                    date1 = datetime.datetime.strptime(date, "%Y-%m-%d")
+                except:
+                    # logger.warning("Attempted to parse date")
+                    pass
         else:
             import pandas
 
@@ -831,6 +843,14 @@ def eikon_api_key(self):
     def eikon_api_key(self, eikon_api_key):
         self.__eikon_api_key = eikon_api_key
 
+    @property
+    def fxmacrodata_api_key(self):
+        return self.__fxmacrodata_api_key
+
+    @fxmacrodata_api_key.setter
+    def fxmacrodata_api_key(self, fxmacrodata_api_key):
+        self.__fxmacrodata_api_key = fxmacrodata_api_key
+
     @property
     def pretransformation(self):
         return self.__pretransformation

findatapy/util/dataconstants.py

@@ -190,7 +190,8 @@ class DataConstants(object):
                         'yahoo'       : 1, # yfinance already threads requests, so don't do it twice!
                         'other'       : 4,
                         'dukascopy'   : 3, # do not do too many!
-                        'fxcm'        : 4}
+                        'fxcm'        : 4,
+                        'fxmacrodata' : 1}
 
     # Seconds for timeout
     timeout_downloader = {'dukascopy' : 120}
@@ -275,6 +276,10 @@ class DataConstants(object):
     #######  FXCM API (contact FXCM to get this)
     fxcm_api_key = "x"
 
+    #######  FXMacroData settings
+    fxmacrodata_base_url = "https://fxmacrodata.com/api/v1"
+    fxmacrodata_api_key = key_store("FXMacroData")
+
     #######  Eikon settings
     eikon_api_key = key_store("Eikon")
 

tests/test_fxmacrodata_vendor.py

@@ -0,0 +1,55 @@
+import pandas as pd
+
+from findatapy.market.datavendorfxmacrodata import DataVendorFXMacroData
+from findatapy.market.marketdatarequest import MarketDataRequest
+
+
+class _FakeResponse:
+    def __init__(self, payload):
+        self._payload = payload
+
+    def raise_for_status(self):
+        pass
+
+    def json(self):
+        return self._payload
+
+
+def test_fxmacrodata_vendor_builds_daily_fx_dataframe(monkeypatch):
+    calls = {}
+
+    def fake_get(url, params=None, timeout=None):
+        calls["url"] = url
+        calls["params"] = params
+        calls["timeout"] = timeout
+
+        return _FakeResponse({
+            "data": [
+                {"date": "2026-01-02", "val": 1.10},
+                {"date": "2026-01-03", "val": 1.11},
+            ]
+        })
+
+    monkeypatch.setattr(
+        "findatapy.market.datavendorfxmacrodata.requests.get", fake_get)
+
+    md_request = MarketDataRequest(
+        data_source="fxmacrodata",
+        category="fx",
+        start_date="2026-01-01",
+        finish_date="2026-01-04",
+        tickers=["EURUSD"],
+        fields=["open", "high", "low", "close"],
+        fxmacrodata_api_key="test-key",
+    )
+
+    data_frame = DataVendorFXMacroData().load_ticker(md_request)
+
+    assert isinstance(data_frame, pd.DataFrame)
+    assert list(data_frame.columns) == [
+        "EURUSD.open", "EURUSD.high", "EURUSD.low", "EURUSD.close"]
+    assert data_frame.loc[pd.Timestamp("2026-01-02"), "EURUSD.close"] == 1.10
+    assert calls["url"] == "https://fxmacrodata.com/api/v1/forex/eur/usd"
+    assert calls["params"]["api_key"] == "test-key"
+    assert calls["params"]["start_date"] == "2026-01-01"
+    assert calls["params"]["end_date"] == "2026-01-04"