ECBPolicyRates

QuantConnect.DataSource.ECBPolicyRates

ECBPolicyRates()

ECBPolicyRates(csv: List[str])

Bases: BaseData

The rates the European Central Bank sets for the euro area, alongside the overnight rate the market actually trades at. The three policy rates form a corridor the ECB steers liquidity within: the deposit facility is its floor, the marginal lending facility its ceiling, and the main refinancing operations rate sits between them. The euro short-term rate is where unsecured overnight borrowing settles inside that corridor, so the gap between it and the deposit facility is a direct read on how loose funding conditions are.

One row per weekday, from 1999, including the TARGET holidays the system closes on. Weekends are dropped: an administered rate stays in force until the ECB changes it, so a weekend row would only repeat the Friday. The euro short-term rate only exists on TARGET business days and only from October 2019, so it is empty before then and on closures.

One file for the euro area. Subscribe with AddData(ECB.PolicyRates.EuroArea).

Signature descriptions:

• Creates a new default instance.

• Creates a new instance from the columns of a row produced by the data processor.

Parameters:

Name	Type	Description	Default
csv	Optional[List[str]]	Columns of the row: date, release stamp, then one per rate	None

main_refinancing_rate

main_refinancing_rate: Optional[float]

The main refinancing operations rate, the headline policy rate of the euro area and the one quoted when the ECB is said to have raised or cut. This is also the data point's Value.

deposit_facility_rate

deposit_facility_rate: Optional[float]

The deposit facility rate, paid on funds banks park at the ECB overnight. It is the floor of the corridor and, since 2014, the rate that actually steers euro money markets.

marginal_lending_rate

marginal_lending_rate: Optional[float]

The marginal lending facility rate, charged on overnight credit from the ECB against collateral. It is the ceiling of the corridor.

euro_short_term_rate

euro_short_term_rate: Optional[float]

The euro short-term rate, the volume-weighted rate at which euro area banks borrow unsecured overnight from financial counterparties. Unlike the three rates above it is measured from real transactions rather than set by the ECB. Empty before October 2019 and on days the TARGET system is closed.

end_time

end_time: datetime

The moment these rates became available, which is when LEAN makes the data point available. The policy rates are known in advance, but the euro short-term rate for a given day is only published at 08:00 Frankfurt time on the next TARGET business day, so the row is not complete until then. A row that never carries one, which is every row before October 2019 and every row inside a TARGET closure, is stamped at the next weekday instead, unless the row before it is waiting on a later print: the stamps are held at a running maximum so the column never steps backwards, which is why 25 December 2019 reads 27 December rather than 26.

Rows around a TARGET closure can share a release. LEAN keeps one data point per symbol per slice, so only the most recent of them arrives, and that is the row inside the closure, whose overnight rate is empty. Check it against null rather than assuming the reopening delivers the rate that printed that morning. See https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_short-term_rate/

symbol

symbol: Symbol

Symbol representation for underlying Security

data_type

data_type: MarketDataType

Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.

time

time: datetime

Current time marker of this data packet.

value

value: float

Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.

price

price: float

As this is a backtesting platform we'll provide an alias of value as price.

ALL_RESOLUTIONS

ALL_RESOLUTIONS: List[Resolution] = ...

A list of all Resolution

This Field is protected.

DAILY_RESOLUTION

DAILY_RESOLUTION: List[Resolution] = ...

A list of Resolution.DAILY

This Field is protected.

MINUTE_RESOLUTION

MINUTE_RESOLUTION: List[Resolution] = ...

A list of Resolution.MINUTE

This Field is protected.

HIGH_RESOLUTION

HIGH_RESOLUTION: List[Resolution] = ...

A list of high Resolution, including minute, second, and tick.

This Field is protected.

OPTION_RESOLUTIONS

OPTION_RESOLUTIONS: List[Resolution] = ...

A list of resolutions support by Options

This Field is protected.

is_fill_forward

is_fill_forward: bool

True if this is a fill forward piece of data

clone

clone() -> BaseData

Clones the instance.

Returns:

Type	Description
BaseData	A clone of the instance.

data_time_zone

data_time_zone() -> Any

Specifies the data time zone for this data type.

Returns:

Type	Description
Any	The Frankfurt time zone the ECB publishes in.

default_resolution

default_resolution() -> Resolution

Gets the default resolution for this data and security type.

Returns:

Type	Description
Resolution	Daily resolution.

get_source

get_source(
    config: SubscriptionDataConfig,
    date: datetime,
    is_live_mode: bool,
) -> SubscriptionDataSource

Specifies the location of the data and directs LEAN where to load it from.

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	Subscription configuration	required
date	datetime	Algorithm date	required
is_live_mode	bool	Is live mode	required

Returns:

Type	Description
SubscriptionDataSource	Subscription data source pointing at the policy rates file.

is_sparse_data

is_sparse_data() -> bool

Indicates whether the data is sparse.

Returns:

Type	Description
bool	False: a single file holds every day of the history.

reader

reader(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
    is_live_mode: bool,
) -> BaseData

Parses one line of the source file into a data point.

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	Subscription configuration	required
line	str	Line of the source CSV	required
date	datetime	Date the request was made for	required
is_live_mode	bool	Is live mode	required

Returns:

Type	Description
BaseData	Instance of the class with the parsed data.

requires_mapping

requires_mapping() -> bool

Indicates whether the data source can undergo rename proof standardization.

Returns:

Type	Description
bool	False: the rates are not tied to a tradable security.

supported_resolutions

supported_resolutions() -> List[Resolution]

Gets the supported resolution for this data and security type.

Returns:

Type	Description
List[Resolution]	Daily resolution.

to_string

to_string() -> str

Converts the instance to a string.

Returns:

Type	Description
str	A string containing the corridor and the overnight rate.

deserialize_message

deserialize_message(serialized: str) -> Sequence[BaseData]

Deserialize the message from the data server

Parameters:

Name	Type	Description	Default
serialized	str	The data server's message	required

Returns:

Type	Description
Sequence[BaseData]	An enumerable of base data, if unsuccessful, returns an empty enumerable.

should_cache_to_security

should_cache_to_security() -> bool

Indicates whether this contains data that should be stored in the security cache

Returns:

Type	Description
bool	Whether this contains data that should be stored in the security cache.

update

update(
    last_trade: float,
    bid_price: float,
    ask_price: float,
    volume: float,
    bid_size: float,
    ask_size: float,
) -> None

Update routine to build a bar/tick from a data update.

Parameters:

Name	Type	Description	Default
last_trade	float	The last trade price	required
bid_price	float	Current bid price	required
ask_price	float	Current asking price	required
volume	float	Volume of this trade	required
bid_size	float	The size of the current bid, if available	required
ask_size	float	The size of the current ask, if available	required

update_ask

update_ask(ask_price: float, ask_size: float) -> None

Updates this base data with the new quote ask information

Parameters:

Name	Type	Description	Default
ask_price	float	The current ask price	required
ask_size	float	The current ask size	required

update_bid

update_bid(bid_price: float, bid_size: float) -> None

Updates this base data with the new quote bid information

Parameters:

Name	Type	Description	Default
bid_price	float	The current bid price	required
bid_size	float	The current bid size	required

update_quote

update_quote(
    bid_price: float,
    bid_size: float,
    ask_price: float,
    ask_size: float,
) -> None

Updates this base data with new quote information

Parameters:

Name	Type	Description	Default
bid_price	float	The current bid price	required
bid_size	float	The current bid size	required
ask_price	float	The current ask price	required
ask_size	float	The current ask size	required

update_trade

update_trade(last_trade: float, trade_size: float) -> None

Updates this base data with a new trade

Parameters:

Name	Type	Description	Default
last_trade	float	The price of the last trade	required
trade_size	float	The quantity traded	required