How can I avoid trading during news events automatically?

To integrate news event data and avoid trading during major news events, such as for NQ futures, you can follow these steps using the QuantConnect platform:

1. Choose a News Data Provider:

   • QuantConnect offers integration with various news data providers like Tiingo or Benzinga. These providers can deliver news events that may impact trading strategies.

2. Create a Custom Data Class:

   • Define a custom data class by extending PythonData. Implement the get_source and reader methods. This class will fetch and parse news data.

     class NewsEvent(PythonData):
       def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live_mode: bool) -> SubscriptionDataSource:
           url = "http://example-news-source-url.com/news.csv"
           return SubscriptionDataSource(url, SubscriptionTransportMedium.REMOTE_FILE)
     
       def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live_mode: bool) -> BaseData:
           if not line.strip() or not line[0].isdigit():
               return None
           news_event = NewsEvent()
           data = line.split(',')
           news_event.time = datetime.strptime(data[0], "%Y-%m-%d %H:%M:%S")
           news_event.symbol = config.symbol
           news_event.value = data[1]  # e.g., importance or severity score
           return news_event
     

3. Integrate News Data in Algorithm:

   • Use the AddData() method to integrate the news data source into your algorithm. Define the ticker, resolution, and any other necessary parameters.

     class MyAlgorithm(QCAlgorithm):
       def initialize(self):
           self.set_start_date(2022, 1, 1)
           self.set_end_date(2022, 12, 31)
           self.set_cash(100000)
           self.add_data(NewsEvent, "news", Resolution.HOURLY)
     
       def on_data(self, data):
           if data.contains_key('news') and data['news'].value > threshold:  # Define the threshold
               self.debug("Significant news event detected. Pausing trading.")
               return
           # Trading logic goes here
     

4. Creating Event Handlers:

   • Implement event handlers to determine when a news event meets criteria that should halt trading. Set flags or conditions to disable order placement during such times.

5. Testing and Monitoring:

   • Test your algorithm with historical data to ensure it accurately detects relevant news events and halts trading when appropriate.
   • Adjust the news event filtering logic for accuracy and signal processing efficiency based on real-time impacts.

By integrating custom news data into your strategy, you can systematically pause trading during significant market-moving events and potentially enhance your strategy's performance.

Sources: Detecting Impactful News In ETF Constituents, Benzinga News Feed - QuantConnect.com, Tiingo News Feed - QuantConnect.com, US Equities - QuantConnect.com, Custom Data N I F T Y Algorithm

How can I find a news source for the Nasdaq Futures (NQ)? Basically, what URL do I provide? 

Hi QuantHeart

We provide two partnered news datasets for Tiingo and Benzinga. You may also stream/import your own custom source.

Best
Louis