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FRED fundamental provider

The FRED fundamental provider (see MS123 Extra Fundamental/News Providers) allows downloading an extensive amount of free economic data from St.Louis Federal Reserve website.

It works as a regular static provider though:

  1. Find desired "symbol" at the FRED website in the desired scale
  2. In New DataSet Wizard, type in the symbol and pick appropriate bar scale from the dropdown list
  3. Update the new DataSet like any other static DataSet

Keep in mind that symbol names vary on a by scale basis. If you provide an incorrect bar scale for the given symbol, the provider will download the data BUT will not show it until you create a DataSet in the proper bar scale. To sum up, before creating a FRED DataSet (when available) one should visit the FRED website to find out the item name and its frequency.

Issues and limitations

  • Semiannual data may be timestamped incorrectly (e.g. on March 31 and September 30). This may lead to an inadvertent peeking into the future in historical backtests. If using Semiannual series by FRED in your Strategy code, adjust them accordingly so as not to take trading decisions before a semester ends (e.g. June 30 and December 31 respectively).

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