I would be interested to import macro economic stats in Ninja 8, to then be able to run calculations and use it in a strategy script or indicator.
More specifically, the idea would be to import, for each important economic stat (PMI, gdp, non farm payroll, CPI etc), two numbers (the actual/forecast) and then compute from there the associated surprise (actual minus forecast). For each surprise, there is an associated market move, on a given timeframes (1min, 5min,15 min).
By regressing the historical data series of associated surprises by the associated market moves, you can then build an intraday fair value indicator that would tell what should be the market move on a given timeframe for an associated economic surprise.
Example:
-Inflation YoY, actual 8.8%, expected 9.2%
-Expected associated market move on bund futures on a 5min timeframe based on historical data: + 20 ticks
Any idea how to proceed ?
Best regards
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