ECBSystemicStress

QuantConnect.DataSource.ECBSystemicStress

ECBSystemicStress()

ECBSystemicStress(csv: List[str])

Bases: BaseData

The Composite Indicator of Systemic Stress, the European Central Bank's measure of how much stress the financial system is under. It aggregates fifteen market-based stress measures across five segments and weights them by how strongly the segments are moving together, so it rises further when trouble is broad than when one market is upset on its own. The scale runs from zero to one.

The euro area file carries the full decomposition: the headline index, the contribution of each of the five market segments, the correlation contribution, and two sovereign stress aggregates. Euro area countries publish the headline index and their own sovereign stress only, and the economies outside the euro publish the headline index alone, so the remaining columns are empty for them. Read a column against null rather than assuming zero.

One file per economy, from 1980, carrying a row for each day the ECB computed the index. That is every weekday, plus the occasional weekend it prints. Subscribe with an economy constant, for example AddData(ECB.StressAreas.EuroArea).

A whole week of readings is released together, so an algorithm receives the newest reading of each batch rather than one point per day: the readings that share a release arrive as the single point that was current when the batch went out. A typed History call follows the same path and returns those same points, one per batch. The daily readings are all in the file, and a dataframe history request returns every one of them, which is how to reach both the days in between and the history back-computed before the 2012 debut.

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 series	`None`

composite

composite: Optional[float]

The composite indicator itself, from zero to one. This is also the data point's Value.

sovereign_stress

sovereign_stress: Optional[float]

Stress in this economy's government bond market. Published for the euro area countries only. It is empty for the euro area aggregate, which carries the two weighted sovereign columns instead, and empty for the economies outside the euro.

bond_market_contribution

bond_market_contribution: Optional[float]

How much the bond market segment adds to the composite. Euro area only.

equity_market_contribution

equity_market_contribution: Optional[float]

How much the equity market segment adds to the composite. Euro area only.

financial_intermediaries_contribution

financial_intermediaries_contribution: Optional[float]

How much the financial intermediaries segment adds to the composite, the banks and insurers whose stress spreads fastest to the real economy. Euro area only.

foreign_exchange_contribution

foreign_exchange_contribution: Optional[float]

How much the foreign exchange segment adds to the composite. Euro area only.

money_market_contribution

money_market_contribution: Optional[float]

How much the money market segment adds to the composite. Euro area only.

correlation_contribution

correlation_contribution: Optional[float]

How much of the composite comes from the segments moving together rather than from any one of them. This is what separates a systemic episode from an isolated one, and it is the term that turns negative when the segments are uncorrelated. Euro area only.

sovereign_stress_equal_weighted

sovereign_stress_equal_weighted: Optional[float]

Euro area sovereign stress with every member country weighted equally, so a small country in trouble shows up as loudly as a large one. Euro area only.

sovereign_stress_gdp_weighted

sovereign_stress_gdp_weighted: Optional[float]

Euro area sovereign stress weighted by the size of each economy, so it tracks the large member states. Euro area only.

end_time

end_time: datetime

The moment the ECB released this reading, which is when LEAN makes the data point available. The index is daily but published in a weekly batch, so a reading waits between one and seven days for the next release. The ECB introduced the index in 2012 and computed the earlier years with it, so every reading from before then carries the day the series debuted rather than a date the index did not yet exist on. See https://data.ecb.europa.eu/data/datasets/CISS

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 this economy's file.

is_sparse_data

is_sparse_data() -> bool

Indicates whether the data is sparse.

Returns:

Type	Description
`bool`	True: one file per economy, and the index does not print every calendar day.

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 index is 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 composite reading.

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