Summary

• keep the existing FXMacroData daily FX spot-rate collector
• add download_macro_data for FXMacroData announcements, release calendars, and prediction groups
• add download_catalogue so qlib users can discover currency/indicator coverage before building macro feature sets
• add macro normalization for qlib numeric feature tables
• document canonical API usage, API-key access, subscribed multi-currency workflows, and point-in-time backtest guidance
• add focused mocked tests for macro flattening, catalogue metadata, canonical URLs, and subscription-oriented auth errors

Notes

Macro datasets use symbols such as usd_inflation and include numeric features such as value, actual, consensus, forecast, surprise, prediction, prediction_count, announcement_datetime, and is_future. This makes FXMacroData usable for macro-event features, not only OHLCV-shaped FX spot rates.

The collector defaults to https://api.fxmacrodata.com/v1. Users can use public catalogue/calendar/evaluation endpoints without a key, then subscribe at https://fxmacrodata.com/subscribe when they need broader history, higher request budgets, non-USD announcement history, COT, commodities, or other protected datasets.

Validation

• python -m py_compile scripts\data_collector\fxmacrodata\collector.py tests\misc\test_fxmacrodata_collector.py
• python -m pytest tests\misc\test_fxmacrodata_collector.py -q (5 passed)
• python -m black --check -l 120 scripts\data_collector\fxmacrodata\collector.py tests\misc\test_fxmacrodata_collector.py
• python -m flake8 --ignore=E501,F541,E266,E402,W503,E731,E203 scripts\data_collector\fxmacrodata\collector.py tests\misc\test_fxmacrodata_collector.py (isolated temp install)
• git diff --check
• Live smoke: download_catalogue --currencies usd --include_coverage true returned USD indicator rows with coverage metadata