Eurostat

from AlgorithmImports import *

class EurostatSurveysExampleAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2018, 1, 1)
        self.set_end_date(2021, 3, 31)
        self.set_cash(100000)

        self.equity = self.add_equity("SPY", Resolution.DAILY).symbol

        self.consumer = self.add_data(EurostatConsumerSurvey, Eurostat.Economies.GERMANY, Resolution.DAILY).symbol
        self.industry = self.add_data(EurostatIndustrySurvey, Eurostat.Economies.GERMANY, Resolution.DAILY).symbol

        self.previous_confidence = None

    def on_data(self, slice):
        industry = slice.get(EurostatIndustrySurvey)
        if self.industry in industry:
            data_point = industry[self.industry]
            self.debug(f"Industrial confidence: {data_point.industrial_confidence}, selling price expectations: {data_point.selling_price_expectation}")

        consumer = slice.get(EurostatConsumerSurvey)
        if self.consumer not in consumer:
            return

        confidence = consumer[self.consumer].consumer_confidence
        if confidence is None:
            return

        # Households turning less pessimistic is the risk-on read.
        if self.previous_confidence is not None:
            if confidence > self.previous_confidence:
                self.set_holdings(self.equity, 1)
            else:
                self.liquidate(self.equity)

        self.previous_confidence = confidence

public class EurostatSurveysExampleAlgorithm : QCAlgorithm
{
    private Symbol _equity, _consumer, _industry;
    private decimal? _previousConfidence;

    public override void Initialize()
    {
        SetStartDate(2018, 1, 1);
        SetEndDate(2021, 3, 31);
        SetCash(100000);

        _equity = AddEquity("SPY", Resolution.Daily).Symbol;

        _consumer = AddData<EurostatConsumerSurvey>(Eurostat.Economies.Germany, Resolution.Daily).Symbol;
        _industry = AddData<EurostatIndustrySurvey>(Eurostat.Economies.Germany, Resolution.Daily).Symbol;
    }

    public override void OnData(Slice slice)
    {
        var industry = slice.Get<EurostatIndustrySurvey>();
        if (industry.ContainsKey(_industry))
        {
            var dataPoint = industry[_industry];
            Debug($"Industrial confidence: {dataPoint.IndustrialConfidence}, selling price expectations: {dataPoint.SellingPriceExpectation}");
        }

        var consumer = slice.Get<EurostatConsumerSurvey>();
        if (!consumer.ContainsKey(_consumer))
        {
            return;
        }

        var confidence = consumer[_consumer].ConsumerConfidence;
        if (!confidence.HasValue)
        {
            return;
        }

        // Households turning less pessimistic is the risk-on read.
        if (_previousConfidence.HasValue)
        {
            if (confidence > _previousConfidence)
            {
                SetHoldings(_equity, 1);
            }
            else
            {
                Liquidate(_equity);
            }
        }

        _previousConfidence = confidence;
    }
}

from AlgorithmImports import *

class EurostatSurveysFrameworkAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2018, 1, 1)
        self.set_end_date(2021, 3, 31)
        self.set_cash(100000)

        self.universe_settings.resolution = Resolution.DAILY

        symbols = [Symbol.create("SPY", SecurityType.EQUITY, Market.USA)]
        self.set_universe_selection(ManualUniverseSelectionModel(symbols))

        self.add_alpha(EurostatConfidenceAlphaModel(self))

        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
        self.set_execution(ImmediateExecutionModel())


class EurostatConfidenceAlphaModel(AlphaModel):
    """Emits insights from the direction of European confidence, read across households and industry."""

    def __init__(self, algorithm):
        self._consumer = algorithm.add_data(EurostatConsumerSurvey, Eurostat.Economies.GERMANY, Resolution.DAILY).symbol
        self._industry = algorithm.add_data(EurostatIndustrySurvey, Eurostat.Economies.GERMANY, Resolution.DAILY).symbol

        history = algorithm.history(EurostatConsumerSurvey, self._consumer, timedelta(days=1825), Resolution.DAILY)
        algorithm.debug(f"Got {len(history)} historical consumer survey rows")

        self._previous_consumer = None
        self._previous_industry = None
        self._symbols = []

    def update(self, algorithm, data):
        insights = []

        consumer = data.get(EurostatConsumerSurvey)
        if self._consumer not in consumer:
            return insights

        confidence = consumer[self._consumer].consumer_confidence
        if confidence is None:
            return insights

        # The industry survey shares its release date with the consumer one, so the confirmation
        # is read from the same round.
        industry_point = algorithm.securities[self._industry].cache.get_data(EurostatIndustrySurvey)
        industrial = industry_point.industrial_confidence if industry_point else None

        if self._previous_consumer is not None:
            improving = confidence > self._previous_consumer
            if improving and industrial is not None and self._previous_industry is not None:
                improving = industrial > self._previous_industry

            direction = InsightDirection.UP if improving else InsightDirection.FLAT
            insights = [Insight.price(symbol, timedelta(days=30), direction) for symbol in self._symbols]

        self._previous_consumer = confidence
        if industrial is not None:
            self._previous_industry = industrial

        return insights

    def on_securities_changed(self, algorithm, changes):
        for security in changes.added_securities:
            self._symbols.append(security.symbol)

        for security in changes.removed_securities:
            if security.symbol in self._symbols:
                self._symbols.remove(security.symbol)

public class EurostatSurveysFrameworkAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2018, 1, 1);
        SetEndDate(2021, 3, 31);
        SetCash(100000);

        UniverseSettings.Resolution = Resolution.Daily;

        var symbols = new[] { QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA) };
        SetUniverseSelection(new ManualUniverseSelectionModel(symbols));

        AddAlpha(new EurostatConfidenceAlphaModel(this));

        SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
        SetExecution(new ImmediateExecutionModel());
    }
}

public class EurostatConfidenceAlphaModel : AlphaModel
{
    private readonly Symbol _consumer;
    private readonly Symbol _industry;
    private readonly List<Symbol> _symbols = new();

    private decimal? _previousConsumer;
    private decimal? _previousIndustry;

    public EurostatConfidenceAlphaModel(QCAlgorithm algorithm)
    {
        _consumer = algorithm.AddData<EurostatConsumerSurvey>(Eurostat.Economies.Germany, Resolution.Daily).Symbol;
        _industry = algorithm.AddData<EurostatIndustrySurvey>(Eurostat.Economies.Germany, Resolution.Daily).Symbol;

        var history = algorithm.History<EurostatConsumerSurvey>(_consumer, TimeSpan.FromDays(1825), Resolution.Daily);
        algorithm.Debug($"Got {history.Count()} historical consumer survey rows");
    }

    public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
    {
        var insights = new List<Insight>();

        var consumer = data.Get<EurostatConsumerSurvey>();
        if (!consumer.ContainsKey(_consumer))
        {
            return insights;
        }

        var confidence = consumer[_consumer].ConsumerConfidence;
        if (!confidence.HasValue)
        {
            return insights;
        }

        // The industry survey shares its release date with the consumer one, so the confirmation
        // is read from the same round.
        var industryPoint = algorithm.Securities[_industry].Cache.GetData<EurostatIndustrySurvey>();
        var industrial = industryPoint?.IndustrialConfidence;

        if (_previousConsumer.HasValue)
        {
            var improving = confidence > _previousConsumer;
            if (improving && industrial.HasValue && _previousIndustry.HasValue)
            {
                improving = industrial > _previousIndustry;
            }

            var direction = improving ? InsightDirection.Up : InsightDirection.Flat;
            insights = _symbols.Select(symbol => Insight.Price(symbol, TimeSpan.FromDays(30), direction)).ToList();
        }

        _previousConsumer = confidence;
        if (industrial.HasValue)
        {
            _previousIndustry = industrial;
        }

        return insights;
    }

    public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
    {
        foreach (var security in changes.AddedSecurities)
        {
            _symbols.Add(security.Symbol);
        }

        foreach (var security in changes.RemovedSecurities)
        {
            _symbols.Remove(security.Symbol);
        }
    }
}