Understanding Impact of Forex News

Hi there,

I'm somewhat new here - but I'm keen to learn. I'm hoping someone can point me in the right direction to undertake the following analysis in an automated fashion.

I have a list of dates/times for Economic news events that have taken place previously. I would like to be able to determine and output the following:

For a currency pair (i.e EURUSD):

Derive Max/Min Price within a 5 minute period prior to the release, return the time and price (time can be within ideally a 10 second granularity, minute is OK)
Derive Price at the time of news release
Device Max/Min Price within a x minute period prior to the release, return the time and price (time can be within ideally a 10 second granularity, minute is OK)

Ideally I want the ability to capture this information across multiple currency pairs to derive and understand movement.

I'm happy to be pointed to a freelance company that could do this work for me should this be required.

Update Backtest

Hi Paul,

If you’re going to be analyzing a strategy trading around news events, then you’ll likely want to get as granular as possible using tick data.

Tick data will show the minimum price change of an instrument, which will be valuable for analyzing moves before/after news releases as the market will often gap to a new level after the announcement. If you’re just looking at 1 min or 10 sec bars, it will show you the open, high, low and close of that bar, but give you little information on what happened in between at the time of release. Market gaps can happen much quicker than this.

The market’s reaction to the news can vary as well. The underlying trend, depth of current move and market expectations can all contribute to this.

If you want a quick and visual way to do this first to try and understand what is going on, there is a free app we have called 'DailyFX News' that you can install on a demo account and see the news events plotted directly on the chart (including past events).

Once we have DailyFX news events available via API, you’ll be able to access the same details within QuantConnect.

Disclaimer: I work at FXCM. Our service includes products that are traded on margin and carry a risk of losses in excess of your deposited funds. The products may not be suitable for all investors. Please ensure that you fully understand the risks involved.

Update Backtest


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