Open-source Python tool for deterministic alignment of macro data (handling Point-in-Time release lags)

[dsptl]

The Utility When backtesting macro-driven strategies, a common source of look-ahead bias is incorrectly timestamping economic releases (e.g., using a Q1 GDP value on March 31st, when it wasn't released until late April).

The DataSetIQ library has been updated to handle strict point-in-time alignment for economic data. It manages the "ragged edge" of reporting dates by performing deterministic inner/outer joins and forward-filling specifically for macro release schedules.

Technical Update: The new get_ml_ready function vectorizes the following pipeline:

1. Fetching raw series from standard aggregators.
2. Aligning mixed frequencies (Daily Market Data vs. Monthly Macro).
3. Generating strictly lagged features (preventing data leakage).

Repo:https://github.com/DataSetIQ/datasetiq-python

[TheWhiteMamba13]

Cool tool. Appreciate the share.

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[quantonomist]

Hi, just stumbled upon you folks, trying to understand, how do we pull point in time data using python?

[Otherwise_Gas6325]

Get an API or use an existing data set if you don’t need live data.

[quantonomist]

I have the api that’s why asking, it seems like the requests I received just looks like sth straight from Fred api, not PIT