Add FXMacroData calendar sample

[roberttidball]

Summary

• Adds FXMacroData calendar C# sample for using FXMacroData's public release-calendar endpoint in backtesting or strategy-risk workflows.
• Keeps the integration self-contained and avoids API-key requirements by using the public USD calendar example.

Validation

• Ran Python syntax checks for all added Python examples where applicable.
• Ran git diff --check for this repository.
• Live FXMacroData calendar smoke tested with the July 2026 USD sample window from companion Python examples.

Note: Go, Rust, .NET, Maven, and TypeScript toolchains were not available in the local desktop environment for deeper build checks.

[fbertram]

Hello Robert,
Thanks a lot for your contribution. Would you mind providing me some more background how you envision to use this code snippet?

Thank you,
Kindly, Liz

[roberttidball]

Hello Liz,

Thanks for taking a look. The intended use is to give TuringTrader users a small macro-event context helper rather than a new trading engine dependency.

The practical workflow I had in mind is:

• pull upcoming or recent FXMacroData release-calendar events for a currency such as USD, EUR, GBP, or JPY;
• filter a TuringTrader backtest, signal review, or chart annotation around high-impact macro events such as CPI, policy-rate decisions, payrolls, GDP, or PMI;
• keep the example isolated so users who do not use FXMacroData are unaffected.

For example, a user testing a EUR/USD, rates-sensitive ETF, or macro overlay strategy could use the snippet to avoid opening new positions shortly before a central-bank decision, annotate results around CPI/NFP releases, or compare performance inside and outside event windows.

If you prefer, I can narrow this further into a documentation-only example, move it under a contrib/examples area, or close the PR if vendor-specific data examples are outside the project scope.

[fbertram]

Hello Robert,
Thanks for the added context. I can see how this makes sense. There are a few thoughts going through my mind:

• I think we should have some sample strategy that showcases the feature and how it could be used
• Because TuringTrader is mostly aiming at end-of-day trading, it would be required that there are 10+ years of history available
• It might be good to write the code in a way that it pulls the date range from the parent Algorithm object
• We might need to pay some close attention to the handling of time zones in the code; TuringTrader's v2 engine strictly runs in the local timezone, while the FX event calendar is likely in a different timezone.

Thoughts?

Kindly, Liz

[roberttidball]

Updated the sample strategy to make the TuringTrader usage more explicit: it now defaults to a 2007-present history window, uses the parent Algorithm date range when querying FXMacroData, converts �nnouncement_datetime_utc into the market timezone before building blackout dates, and goes flat on macro blackout dates.\n\nLocal build validation could not run because dotnet is not installed in this environment; git diff --check passed.