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Macro & Economic
US macro releases are the single largest source of scheduled volatility in this project's target futures. CPI, the Employment Situation (nonfarm payrolls), PPI, GDP, PCE, and retail sales all print at 8:30 a.m. ET and routinely gap ES/NQ/YM/RTY (and their micros) within milliseconds; ISM and University of Michigan land at 10:00 a.m. ET; FOMC statements at 2:00 p.m. ET with the press conference at 2:30 p.m. move the entire rates complex and, through real yields and the dollar, gold (1OZ/QO) and silver (QI/SIC). Crude (MCL/QM/BZ) responds to the growth-sensitive releases (payrolls, ISM, GDP) and to dollar moves. A trading system for these markets needs three distinct macro data layers: (1) the release calendar (exact timestamps + consensus forecasts), (2) the released values including revisions (and, for honest backtests, vintage values as originally published — ALFRED), and (3) market-implied policy expectations (fed funds ZQ and SOFR SR3 futures, CME FedWatch, Atlanta Fed Market Probability Tracker) that define what counts as a "surprise."
The good news is that the core of this category is free: FRED/ALFRED, the BLS/BEA/Census APIs, Treasury FiscalData and TreasuryDirect auction APIs, the Fed Board's calendar/minutes/SEP/speeches, and a family of regional-Fed nowcasts (GDPNow, Cleveland inflation nowcasts, NY Fed Staff Nowcast) are all publicly downloadable, most with documented JSON APIs that were probed live on 2026-07-11. The expensive/gated parts are exactly the ones the minimum-coverage list flags: ISM now 302-redirects even its report pages and release calendar to an SSO login (observed directly on 2026-07-11), S&P Global PMI history is subscription-only beyond press releases, University of Michigan headline data is free only after release (sponsors get more), Conference Board data sits behind membership/Data Central, and the Citi Economic Surprise Index is effectively Bloomberg/Citi-Velocity licensed. Machine-readable calendars with consensus are also a commercial product (Econoday, Trading Economics) unless you scrape retail sites.
One structural caveat: the October–November 2025 government shutdown left permanent holes in the official record — BLS collected no CPI data from Oct 1 to Nov 12, 2025 and cancelled the October 2025 CPI, and the October 2025 household-survey data (unemployment rate) were never collected. Any feature pipeline keyed to "monthly CPI/NFP always exists" must handle missing months, rescheduled release dates (revised BLS dates), and delayed prints (November 2025 CPI released December 18, 2025 per the BLS CPI schedule).
Release-time cheat sheet (all times ET)
| Release | Typical time | Cadence / day | Schedule URL |
|---|---|---|---|
| CPI (BLS) | 8:30 a.m. | Monthly, ~mid-month | BLS CPI schedule |
| Employment Situation / NFP (BLS) | 8:30 a.m. | Monthly, usually first Friday (exceptions exist, e.g. Feb 11, 2026) | BLS Empsit schedule |
| PPI (BLS) | 8:30 a.m. — verify | Monthly | BLS PPI schedule |
| GDP, Personal Income & Outlays/PCE (BEA) | 8:30 a.m. | Monthly/quarterly per BEA schedule | BEA schedule |
| Advance retail sales MARTS (Census) | 8:30 a.m. — verify | Monthly | Census economic indicators calendar |
| Advance durable goods (Census) | 8:30 a.m. — verify | Monthly | Census economic indicators calendar |
| Initial jobless claims (DOL) | 8:30 a.m. Thursday — verify | Weekly | DOL UI data |
| ISM Manufacturing PMI | 10:00 a.m., 1st business day — verify (ISM calendar login-gated) | Monthly | investing.com event page |
| ISM Services PMI | 10:00 a.m., 3rd business day — verify | Monthly | investing.com event page |
| UMich consumer sentiment | 10:00 a.m.; prelim ~2nd Friday, final ~2 weeks later | 2×/month | Surveys of Consumers |
| Conference Board consumer confidence | 10:00 a.m., last Tuesday — verify | Monthly | Conference Board CCI |
| FOMC statement / SEP | 2:00 p.m. (presser 2:30 p.m.) — verify times | 8 meetings/yr; 2026: Jan 27–28, Mar 17–18, Apr 28–29, Jun 16–17, Jul 28–29, Sep 15–16, Oct 27–28, Dec 8–9 | FOMC calendars |
| FOMC minutes | 2:00 p.m., 3 weeks after each decision | 8×/yr | FOMC calendars |
| Chicago Fed NFCI | 8:30 a.m. Wednesday | Weekly | Chicago Fed NFCI |
| Atlanta Fed GDPNow | intraday, ~6–7 updates/month after inputs release | Continuous within quarter | GDPNow |
| Cleveland Fed inflation nowcast | each business day ~10:00 a.m. | Daily | Inflation nowcasting |
| NY Fed Staff Nowcast | Fridays | Weekly | NY Fed Nowcast |
Free / official sources
FRED (St. Louis Fed) API
| Field | Value |
|---|---|
| What it is | The canonical free US macro time-series warehouse; REST API over ~800k+ series with categories/releases/series/observations endpoints |
| Coverage | All headline macro that moves our futures: CPI, payrolls, GDP, PCE, retail sales, yields (H.15 mirrors), broad dollar index DTWEXBGS, GDPNow, NFCI, UMich headline (UMCSENT); NOT ISM (removed years ago), not S&P PMI, not Conference Board |
| Granularity | Daily/weekly/monthly/quarterly series-level data (no intraday) |
| History depth | Decades for core series (CPI to 1913 via BLS, payrolls to 1939); per-series |
| Latency / updates | Series update shortly after source releases; FRED is a mirror, not a primary — headline series typically lag the 8:30 a.m. print by minutes to hours (verify per series) |
| Access method | REST API (JSON/XML), free API key; keyless calls rejected with error 400 "Variable api_key is not set" (probed live 2026-07-11); web UI CSV/Excel downloads |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://fred.stlouisfed.org/docs/api/api_key.html |
| Licensing / redistribution | FRED API Terms of Use; most series redistributable, but some third-party series carry restrictions — check series notes |
| Reliability caveats | Rate limit 120 requests/min (documented by community clients fredr and fedfred, not on FRED's own docs — verify); FRED stores latest revised values — useless alone for backtesting release surprises (use ALFRED) |
| Best for | Primary macro store for research/features; the default source for everything not needing real-time or vintage values |
ALFRED (vintage / real-time macro data)
| Field | Value |
|---|---|
| What it is | ALFRED = "ArchivaL FRED": every FRED series as it appeared on any past date ("economic data time travel"), exposed through the same API via vintage_dates/realtime_start/realtime_end parameters (fred/series/vintagedates endpoint) |
| Coverage | Same series universe as FRED, with vintage snapshots (site advertises vintages "since 2006"; many series have older reconstructed vintages — verify per series) |
| Granularity | Same as FRED, plus vintage dimension |
| History depth | Vintage archive generally from 2006 onward; some series (GDP, payrolls) have vintages back to the 1990s via the Philadelphia Fed real-time dataset instead — cross-check |
| Latency / updates | New vintage captured at each source revision |
| Access method | Same free REST API as FRED (pass realtime parameters); web downloads |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://alfred.stlouisfed.org/ |
| Licensing / redistribution | Same as FRED API terms |
| Reliability caveats | Vintage timestamps are dates, not intraday times — you still need the release calendar to know the 8:30:00 a.m. moment; not every FRED series has full vintage history |
| Best for | Point-in-time correct backtests of macro-surprise strategies (what did the market know at the time?) — this is the single most important dataset in this category for avoiding look-ahead bias |
BLS Public Data API (CPI, NFP/Employment Situation, PPI, JOLTS)
| Field | Value |
|---|---|
| What it is | The Bureau of Labor Statistics' Public Data API serving all BLS series (CPI, CES payrolls, LAUS, PPI, JOLTS, ECI) by series ID |
| Coverage | Inflation and labor data driving ES/NQ and gold: CPI-U, core CPI, PPI final demand, nonfarm payrolls, average hourly earnings, unemployment rate, JOLTS |
| Granularity | Monthly (weekly for some); series-level |
| History depth | CPI monthly since 1913; payrolls since 1939 (per-survey) |
| Latency / updates | Data loaded at official release time (8:30 a.m. ET per CPI and Employment Situation schedules); API is not guaranteed low-latency at 8:30:00 — verify before relying on it for event trading |
| Access method | REST API v2 (JSON, POST/GET); registered key free. Limits per BLS API FAQ: v2 = 500 queries/day, 50 series/query, 20 years/query; v1 (no key) = 25 queries/day, 25 series, 10 years; both throttled at 50 requests per 10 seconds |
| Cost | Free (as of 2026-07-11); registration free, renewed annually |
| Pricing page | https://www.bls.gov/developers/api_faqs.htm |
| Licensing / redistribution | US government work — public domain; cite BLS |
| Reliability caveats | Latest-value only (no vintages — use ALFRED); 2025 shutdown created permanent gaps (no October 2025 CPI, no October 2025 household survey); release dates occasionally rescheduled |
| Best for | Authoritative CPI/NFP/PPI values + the official release calendars for event timestamps |
BEA API (GDP, PCE, corporate profits)
| Field | Value |
|---|---|
| What it is | Bureau of Economic Analysis REST API over NIPA tables (GDP and components, PCE price index, personal income), international and regional accounts (user guide PDF) |
| Coverage | GDP advance/second/third estimates and monthly Personal Income & Outlays (PCE deflator — the Fed's target measure), both first-tier events for ES/NQ and gold |
| Granularity | Monthly/quarterly/annual table data |
| History depth | NIPA tables back to 1929 (annual) / 1947 (quarterly) — verify per table |
| Latency / updates | Releases at 8:30 a.m. ET per the BEA release schedule (e.g. 2026-07-30 advance Q2 GDP + June personal income) |
| Access method | REST API (JSON/XML), free key by email signup |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://apps.bea.gov/api/signup/ |
| Licensing / redistribution | Public domain; cite BEA |
| Reliability caveats | Throttling per user guide: 100 requests/min, 100 MB/min, 30 errors/min → violators blocked for a timeout period currently ~1 minute, dynamically adjustable (per user guide, verified 2026-07-11 — not 1 hour as sometimes reported); heavy revision cycle (advance→second→third→annual) makes vintages essential for backtests |
| Best for | GDP/PCE levels and revision history; pairs with ALFRED for as-released values |
Census Bureau Economic Indicators API (retail sales, durable goods)
| Field | Value |
|---|---|
| What it is | Census Economic Indicators Time Series API — 16 monthly/quarterly indicator datasets at api.census.gov/data/timeseries/eits/ |
| Coverage | Advance Monthly Retail Sales (MARTS), Monthly Retail Trade (MRTS), Advance Durable Goods (ADVM3), full M3, plus housing starts, construction spending, trade balance — the 8:30 a.m. prints that move ES and crude via the growth channel |
| Granularity | Monthly series by category code (e.g. 44X72 retail & food services) |
| History depth | Varies by survey; MARTS-type series ~1992+ (examples on the docs page show 2004+) — verify per dataset |
| Latency / updates | Loaded at/after official release; release dates on the Census economic indicators calendar |
| Access method | REST (JSON); API key required per docs ("All data queries to the Census Data API now require an API key"), free signup at key signup. Note: an unauthenticated probe of /data/timeseries/eits/marts returned HTTP 302 redirecting to a "Missing Key" page (empty body if redirects not followed) as of 2026-07-11 — key is mandatory |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.census.gov/data/developers/data-sets/economic-indicators.html |
| Licensing / redistribution | Public domain; cite Census |
| Reliability caveats | EITS API syntax is idiosyncratic (cell_value/time_slot_id); Census has announced consolidations of retail programs in recent years — watch for series breaks; latest-value only (no vintages) |
| Best for | Retail sales and durable-goods surprise inputs; free and official |
Treasury FiscalData API (auction results, debt, TGA)
| Field | Value |
|---|---|
| What it is | Treasury's modern open-data platform fiscaldata.treasury.gov — REST APIs for auction results, debt to the penny, Treasury General Account cash balance, interest rates on the debt |
| Coverage | Rates/supply data relevant to the whole complex: auction results feed the "auction tail" signals that move bonds → equity indices and gold |
| Granularity | Per-auction records; daily fiscal series |
| History depth | Auctions Query endpoint returns records back to 1979-10-31 (earliest auction_date on a live probe as of 2026-07-11; ~11,000 records total) (/v1/accounting/od/auctions_query) |
| Latency / updates | Daily-updated datasets; auction results appear after each auction (verify same-day timing) |
| Access method | REST JSON, no API key required (probed live 2026-07-11); pagination/filter parameters |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://fiscaldata.treasury.gov/api-documentation/ |
| Licensing / redistribution | US government open data; public domain |
| Reliability caveats | Field names differ from TreasuryDirect's API for the same auctions (e.g. avg_med_discnt_rate vs averageMedianDiscountRate); some old records have null fields |
| Best for | Deep historical auction database (bid-to-cover, high yield, dealer takedown) for supply-shock features |
TreasuryDirect Securities API (upcoming auctions + results)
| Field | Value |
|---|---|
| What it is | TreasuryDirect's web APIs at www.treasurydirect.gov/TA_WS/ for announced/auctioned securities |
| Coverage | Auction calendar (securities/upcoming) and results (securities/auctioned) for bills/notes/bonds/TIPS/FRNs — the schedule half of the auction-event trade |
| Granularity | Per-security records incl. high rate, bid-to-cover components, allocation percentage |
| History depth | Recent + queryable back years via type/days parameters (deep history better via FiscalData) |
| Latency / updates | upcoming shows announced auctions (live probe 2026-07-11 returned a 13-week bill auctioning 2026-07-13); results appear shortly after the ~1:00 p.m. ET auction close — exact publication latency Unknown — verify |
| Access method | REST JSON/XML, no key (probed live 2026-07-11) |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.treasurydirect.gov/webapis/webapisecurities.htm |
| Licensing / redistribution | Public domain |
| Reliability caveats | Legacy API style; occasional maintenance windows; pair with the tentative auction schedule for quarter-ahead planning (the direct PDF URL that used to host the schedule 404'd on 2026-07-11 — locate current link via the quarterly refunding page) |
| Best for | Real-time-ish auction calendar + results without scraping |
US Treasury daily par yield curve
| Field | Value |
|---|---|
| What it is | Treasury's official daily par yield curve rates (CMT), downloadable CSV/XML per year |
| Coverage | 1M–30Y par yields — curve level/slope features for equity-index and gold models; note a new 1.5-month tenor column appears in 2026 files (seen live 2026-07-11) |
| Granularity | Daily (one row per business day) |
| History depth | 1990 (daily yield curve) back-years selectable; longer via FRED H.15 mirrors |
| Latency / updates | Published each business day, typically ~3:30–6:00 p.m. ET — verify exact time |
| Access method | CSV/XML download URLs (probed live 2026-07-11: .../daily-treasury-rates.csv/2026/all?type=daily_treasury_yield_curve... returned data through 07/10/2026); no key |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treasury_yield_curve |
| Licensing / redistribution | Public domain |
| Reliability caveats | Par-yield methodology changes occasionally (tenor additions like 1.5M/4M create schema drift in CSV parsing); EOD only — intraday curve requires futures/cash vendors |
| Best for | Canonical daily curve for slope/steepening features; schema-drift-aware parsing required |
Federal Reserve Board — FOMC calendar, statements, minutes, SEP, speeches
| Field | Value |
|---|---|
| What it is | The Fed's own FOMC calendars page: meeting dates, statements (HTML/PDF), implementation notes, minutes, SEP ("dot plot") materials; plus RSS feeds for press releases, speeches, and testimony |
| Coverage | The policy events themselves — 2026 meetings: Jan 27–28, Mar 17–18*, Apr 28–29, Jun 16–17*, Jul 28–29, Sep 15–16*, Oct 27–28, Dec 8–9* (*=SEP), per the calendars page (fetched 2026-07-11) |
| Granularity | Event documents; SEP quarterly; speeches ad hoc |
| History depth | Calendars page carries 2021–2027; historical materials archive goes back decades (minutes ~5-year lag for transcripts) |
| Latency / updates | Statement at decision time (2:00 p.m. ET — verify); minutes "released three weeks after the date of the policy decision" (quoted from the calendars page); speeches posted at delivery |
| Access method | Web pages, PDFs, RSS feeds (press releases, speeches by member, statistical releases) |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.federalreserve.gov/monetarypolicy/fomccalendars.htm |
| Licensing / redistribution | Public domain |
| Reliability caveats | No structured API for statements/SEP — NLP pipelines must parse HTML/PDF; SEP dot-plot values published as figures + tables in the projections PDF |
| Best for | Ground truth for policy-event timestamps and text (statement-diff and speech-sentiment features) |
Federal Reserve Data Download Program (DDP) — H.15, H.10 / dollar index
| Field | Value |
|---|---|
| What it is | The Board's Data Download Program for statistical releases: H.15 Selected Interest Rates, H.10 FX rates, H.6 money stock, G.17 industrial production, G.19 consumer credit, Z.1 financial accounts |
| Coverage | Official daily FX and rates; H.10 includes the Nominal Broad U.S. Dollar Index — the free alternative to licensed DXY (also on FRED as DTWEXBGS, daily values, Jan-2006=100, updated weekly) |
| Granularity | Daily observations (H.15/H.10), released weekly; monthly for G-series |
| History depth | H.15 series back to 1960s; DTWEXBGS from 2006 |
| Latency / updates | H.10/DTWEXBGS: daily data published weekly (FRED page fetched 2026-07-11 showed last obs 2026-07-02, next update 2026-07-13) — not suitable for same-day dollar signals |
| Access method | DDP web download (CSV/XML), package builder; also mirrored in FRED API |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.federalreserve.gov/datadownload/ |
| Licensing / redistribution | Public domain |
| Reliability caveats | Weekly publication lag on the dollar index is the key gotcha — for live DXY-style signals use ICE DX futures (commercial) or compute a basket from FX feeds |
| Best for | Free historical dollar-index and official rates for research; not for intraday dollar triggers |
NY Fed Markets Data API (SOFR, EFFR reference rates)
| Field | Value |
|---|---|
| What it is | The New York Fed's markets data API serving reference rates (SOFR, EFFR, OBFR, TGCR/BGCR), repo/reverse-repo operation results, SOMA holdings |
| Coverage | The actual policy-rate fixings underlying ZQ/SR3 futures settlement — needed to interpret rate-expectation data |
| Granularity | Daily fixings with percentile distributions and volumes (live probe 2026-07-11: SOFR 2026-07-09 = 3.53%, $3,126bn volume) |
| History depth | SOFR from April 2018; EFFR from 2000s (verify per series) |
| Latency / updates | Rates published each morning ~8:00 a.m. ET for prior business day — verify exact time |
| Access method | REST JSON/CSV/XML, no key (probed live 2026-07-11: /api/rates/secured/sofr/last/2.json) |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://markets.newyorkfed.org/static/docs/markets-api.html |
| Licensing / redistribution | Public; NY Fed terms — verify redistribution language |
| Reliability caveats | Occasional restatements (revisionIndicator field exists for this reason) |
| Best for | Settlement-grade SOFR/EFFR series for building rate-expectation features from SR3/ZQ prices |
NY Fed Survey of Consumer Expectations (SCE)
| Field | Value |
|---|---|
| What it is | Monthly rotating-panel survey (~1,300 household heads) of consumer expectations — 1/3/5-year inflation expectations, job-loss probabilities, household finance |
| Coverage | Inflation-expectations input directly relevant to gold (1OZ/QO) and rates-sensitive equity trades |
| Granularity | Monthly aggregates + full microdata files |
| History depth | June 2013 → present |
| Latency / updates | Monthly press release (~mid-month for prior month; June data released in July per site, fetched 2026-07-11); exact release time Unknown — verify |
| Access method | Excel chart-data downloads + microdata (2013–16, 2017–19, latest bundles) from the SCE page; interactive charts |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.newyorkfed.org/microeconomics/sce |
| Licensing / redistribution | Free public use with citation — verify exact terms |
| Reliability caveats | Survey-based; small monthly sample; methodology tweaks over time |
| Best for | Household inflation-expectations factor; slower-moving regime context rather than event trading |
New York Fed Staff Nowcast
| Field | Value |
|---|---|
| What it is | The NY Fed's dynamic-factor-model GDP nowcast, suspended Sept 2021 and reintroduced Sept 2023 with a new model |
| Coverage | Current- and next-quarter real GDP growth (e.g. 2026:Q2 2.7%, Q3 2.5% per NY Fed Research on X) |
| Granularity | Weekly point estimates + news decomposition |
| History depth | 2016–2021 archive plus 2023→present under the new model |
| Latency / updates | Published each Friday |
| Access method | Web page + downloadable XLSX |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.newyorkfed.org/research/policy/nowcast |
| Licensing / redistribution | Free with citation — verify |
| Reliability caveats | Model discontinuity 2021–2023; weekly cadence means it can lag mid-week data shocks |
| Best for | Cross-checking GDPNow; "news" decomposition is a ready-made surprise measure per release |
Atlanta Fed GDPNow
| Field | Value |
|---|---|
| What it is | Atlanta Fed's mechanical GDP nowcast for the current quarter (explainer) |
| Coverage | Real GDP growth nowcast + subcomponent contributions — a growth-regime input for ES/NQ and crude |
| Granularity | Point estimate per update; sub-forecast detail in the companion Excel |
| History depth | Since 2011; full run history in the Excel "TrackingHistory" tab; also on FRED as GDPNOW (with ALFRED vintages) |
| Latency / updates | Updated ~6–7 times per month, tied to input releases (per explainer), until each BEA advance estimate |
| Access method | Web page, Excel workbook download on the GDPNow page, FRED API series GDPNOW |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.atlantafed.org/cqer/research/gdpnow |
| Licensing / redistribution | Free with citation — verify |
| Reliability caveats | Purely mechanical — famous head-fakes early in quarters (weak data density); update timestamps are irregular so event-align carefully |
| Best for | Growth-surprise features; via ALFRED you get point-in-time GDPNow readings for backtests |
Atlanta Fed Market Probability Tracker
| Field | Value |
|---|---|
| What it is | Atlanta Fed tool estimating the probability distribution of future 3-month compounded SOFR from CME SOFR-futures options (guide) |
| Coverage | Full option-implied rate distribution (not just meeting-by-meeting probabilities like FedWatch) |
| Granularity | Daily estimated distributions |
| History depth | Unknown — verify on page (chart history several years) |
| Latency / updates | Updated daily using previous-day CME options data |
| Access method | Web charts; a data-feed pod page exists — check for CSV/JSON download |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.atlantafed.org/cenfis/market-probability-tracker |
| Licensing / redistribution | Free with citation — verify |
| Reliability caveats | One-day lag; model-based extraction (fitting choices matter in tails) |
| Best for | Free alternative/complement to FedWatch giving full distributions rather than discrete meeting outcomes |
Cleveland Fed Inflation Nowcasting
| Field | Value |
|---|---|
| What it is | Daily nowcasts of CPI, core CPI, PCE, core PCE (MoM, YoY, quarterly annualized) |
| Coverage | The best free real-time estimate of the upcoming CPI/PCE prints — directly usable to define "surprise" vs consensus for gold and index trades |
| Granularity | Daily model updates for current and next month/quarter |
| History depth | Nowcast archive back years (page shows comparisons vs actuals) — exact start Unknown — verify |
| Latency / updates | "Updated each business day" ~10:00 a.m. ET (page fetched 2026-07-11) |
| Access method | Web page/interactive charts; bulk download availability Unknown — verify (no documented API) |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.clevelandfed.org/indicators-and-data/inflation-nowcasting |
| Licensing / redistribution | Free with citation — verify |
| Reliability caveats | Model-based (gasoline-price-heavy); no official API means scraping fragility |
| Best for | Pre-CPI positioning research; anchor for CPI-surprise definitions when you lack an Econoday consensus feed |
Chicago Fed National Financial Conditions Index (NFCI)
| Field | Value |
|---|---|
| What it is | Weekly composite of 105 financial-conditions indicators (Chicago Fed); adjusted variant ANFCI |
| Coverage | Risk-appetite/regime input for equity-index futures models |
| Granularity | Weekly index values |
| History depth | 1971 → present (per FRED NFCI) |
| Latency / updates | Wednesdays 8:30 a.m. ET, covering through prior Friday (Thursday when holidays interfere) — per Chicago Fed |
| Access method | Chicago Fed downloads; FRED/ALFRED API (NFCI, ANFCI) |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.chicagofed.org/research/data/nfci/current-data |
| Licensing / redistribution | Free with citation |
| Reliability caveats | Revised each week as inputs update — use ALFRED vintages in backtests |
| Best for | Weekly regime filter (risk-on/off) for position sizing |
OFR Short-Term Funding Monitor API
| Field | Value |
|---|---|
| What it is | Office of Financial Research API over repo-market and money-market series |
| Coverage | Repo rates/volumes complementing NY Fed data — funding-stress features that lead risk-off moves in ES and gold |
| Granularity | Daily series |
| History depth | Live probe 2026-07-11 returned tri-party repo series from 2014-08-22 |
| Latency / updates | Daily |
| Access method | REST JSON, no key (probed live 2026-07-11: data.financialresearch.gov/v1/series/timeseries?mnemonic=REPO-TRI_AR_OO-P) |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.financialresearch.gov/short-term-funding-monitor/api/ |
| Licensing / redistribution | Public domain |
| Reliability caveats | Niche mnemonics; documentation thinner than FRED |
| Best for | Funding-stress dashboards (repo spikes → volatility regimes) |
CME FedWatch tool (web) + ZQ/SR3 futures as rate-expectation data
| Field | Value |
|---|---|
| What it is | CME's free FedWatch tool converting 30-Day Fed Funds futures (ZQ) prices into FOMC-meeting rate-change probabilities; Three-Month SOFR futures (SR3) extend the curve ~10 years via 39 quarterly listings |
| Coverage | Market-implied Fed path — the conditioning variable for every macro-release reaction in our target markets |
| Granularity | Web tool: per-meeting probability table/charts; underlying futures: tick data via market-data vendors (see price-history category) |
| History depth | Web tool shows current snapshot; historical probabilities require the FedWatch API (commercial, below) which has history to 2015 |
| Latency / updates | Web tool refreshes intraday from futures prices (exact cadence Unknown — verify); free daily settlements published on CME product pages |
| Access method | Free web page + chart exports; programmatic = paid API |
| Cost | Free (web tool) (as of 2026-07-11) |
| Pricing page | https://www.cmegroup.com/markets/interest-rates/cme-fedwatch-tool.html |
| Licensing / redistribution | CME site terms — no scraping/redistribution |
| Reliability caveats | ZQ-implied probabilities assume simple within-month rate paths; around unscheduled-cut speculation the methodology gets strained — cross-check with SR3 options (Atlanta Fed tracker) |
| Best for | Eyeballing/manually logging policy expectations; the free front-end to what ZQ/SR3 data gives you quantitatively |
DBnomics
| Field | Value |
|---|---|
| What it is | Open-source aggregator (db.nomics.world) of macro series from dozens of official providers, EU-funded/non-profit |
| Coverage | Mirrors many providers relevant here — BLS and BEA confirmed among its 93 providers as of 2026-07-11 (providers page); FRED is NOT a provider (listed only under "other resources"); strong for non-US macro too (ECB, Eurostat) if BZ/global context needed |
| Granularity | Source-native (monthly/quarterly) |
| History depth | Source-native |
| Latency / updates | Crawls providers on schedules; not guaranteed release-time fresh — verify per provider |
| Access method | Web API, Python/R/Julia clients, no key |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://db.nomics.world/ |
| Licensing / redistribution | Open data platform; per-provider licenses apply |
| Reliability caveats | Community infrastructure funded by sponsorship (site shows €100k of €200k annual goal raised, fetched 2026-07-11) — long-term SLA risk; crawl lag |
| Best for | One-API access to many providers during prototyping; backup mirror for FRED/BLS outages |
University of Michigan Surveys of Consumers (public data portal)
| Field | Value |
|---|---|
| What it is | The Surveys of Consumers data portal — sentiment index, expectations, and 1y/5-10y inflation-expectation series with demographic cuts |
| Coverage | Consumer sentiment + inflation expectations (10:00 a.m. ET releases; prelim ~2nd Friday, final ~2 weeks later per FXStreet event page — verify against UMich) |
| Granularity | Monthly (prelim + final); time-series download via portal "Time Series" tool |
| History depth | Headline sentiment to 1952 (quarterly) / 1978 (monthly) — verify on portal; also mirrored on FRED (UMCSENT) |
| Latency / updates | Public tables/portal update at/after the 10:00 a.m. release; real-time/embargoed access is a paid sponsor product — the portal has a sponsor login; sponsor pricing not published (Contact sales) |
| Access method | Web portal CSV downloads; FRED API for headline series; no official public API |
| Cost | Free after release; sponsor early access: Contact sales (as of 2026-07-11) |
| Pricing page | https://data.sca.isr.umich.edu/ |
| Licensing / redistribution | Portal terms — verify before redistribution |
| Reliability caveats | 2024 methodology transition to web interviews created level shifts; prelim→final revisions can be large (~420 vs ~1,000 interviews per FXStreet) |
| Best for | Free historical sentiment/inflation-expectation series; treat release timestamps via an econ calendar |
Free web economic calendars (Investing.com, ForexFactory, FinancialJuice)
| Field | Value |
|---|---|
| What it is | Retail calendar/news sites: Investing.com economic calendar, ForexFactory calendar, FinancialJuice (free real-time headline squawk) |
| Coverage | All US releases relevant here with consensus, previous, actual; FinancialJuice adds free audio/text headline squawk around prints |
| Granularity | Event-level with timestamps and consensus estimates |
| History depth | Investing.com event pages keep multi-year actual/forecast history (e.g. ISM Manufacturing PMI page) |
| Latency / updates | Near-real-time actuals (seconds after release; not SLA'd) |
| Access method | Web pages; no official APIs (scraping breaches ToS; unofficial scrapers exist but are fragile) |
| Cost | Free (as of 2026-07-11) |
| Pricing page | https://www.investing.com/economic-calendar/ |
| Licensing / redistribution | Consensus numbers are the sites' licensed/derived content — do not redistribute; automated capture against ToS |
| Reliability caveats | Consensus values differ across sites (different survey panels); occasional wrong/late actuals; no vintage guarantee |
| Best for | Manual calendar awareness and cheap consensus history for research prototypes; replace with Econoday/TE API in production |
Commercial sources
ISM PMI Reports (Institute for Supply Management)
| Field | Value |
|---|---|
| What it is | The ISM Manufacturing and Services PMI reports (formerly Report On Business) — the 10:00 a.m. ET PMI prints that move ES/NQ and crude |
| Coverage | Manufacturing PMI (1st business day) and Services PMI (3rd business day) + sub-indices (prices paid, new orders, employment) — day-of-month claims verify via investing.com since ISM's own release calendar is login-gated |
| Granularity | Monthly headline + sub-indices |
| History depth | Manufacturing series to 1948; historical data sold separately ("Purchase Historical PMI Data" links on report pages per search results) |
| Latency / updates | Monthly, 10:00 a.m. ET — verify |
| Access method | Login-gated web reports: on 2026-07-11 the reports index, individual monthly report pages, and the release calendar all returned 302 redirects to ecommerce.ismworld.org/SSO/Login.aspx (observed directly this session — the "no longer freely browsable" gotcha is real); historical data via purchase; no public API |
| Cost | Contact sales — account/membership required for reports; historical-data pricing not public (as of 2026-07-11) |
| Pricing page | https://www.ismworld.org/supply-management-news-and-reports/reports/ism-pmi-reports/ |
| Licensing / redistribution | ISM prohibits recreating/distributing report content without written authorization |
| Reliability caveats | FRED removed ISM series years ago for licensing reasons; third-party mirrors (TradingView ECONOMICS:USBCOI, Trading Economics, YCharts, MacroMicro) carry headline values but with their own licensing limits |
| Best for | If PMI sub-indices are needed as features, budget for ISM data purchase; otherwise capture headline surprises via a calendar API |
S&P Global PMI (US flash + final)
| Field | Value |
|---|---|
| What it is | S&P Global US PMI — the flash PMI (released ~a week before month-end, the only early-month-read PMI) plus final manufacturing/services/composite |
| Coverage | US flash/final PMIs; press releases free (e.g. Flash US PMI release) |
| Granularity | Monthly headline + sub-indices in press-release text/PDF |
| History depth | Full history + sub-indices subscription-only: per licensed distributors, "full historic PMI headline data and all other PMI sub-index data and histories available on subscription from S&P Global" (Trading Economics PMI page) |
| Latency / updates | Flash ~9:45 a.m. ET — verify; final early month |
| Access method | Free press releases (PDF/HTML — note pmi.spglobal.com returned 403 to our fetcher on 2026-07-11, works in browsers); paid data feed via S&P Global Market Intelligence |
| Cost | Press releases free; dataset: Contact sales (as of 2026-07-11) |
| Pricing page | https://www.pmi.spglobal.com/ |
| Licensing / redistribution | S&P Global license; redistribution prohibited |
| Reliability caveats | Historically diverges from ISM (different panels); headline-only free access forces PDF parsing |
| Best for | Flash PMI surprise events (tradeable, pre-ISM); full-history purchase only if PMI factors prove alpha |
CME FedWatch API
| Field | Value |
|---|---|
| What it is | Programmatic FedWatch probabilities API (REST/JSON via dataservices.cmegroup.com) |
| Coverage | FOMC meeting-by-meeting rate-move probabilities implied by ZQ futures |
| Granularity | End-of-day snapshots; separate intraday product with 60-second updates |
| History depth | Back to 2015 (stated on product page, fetched 2026-07-11) |
| Latency / updates | EOD daily; intraday tier 60-second |
| Access method | REST API, entitlement via CME Data Services portal; technical docs |
| Cost | $25/month for End-of-Day (seen live on the product page 2026-07-11); intraday tier: Contact sales |
| Pricing page | https://www.cmegroup.com/market-data/market-data-api/fedwatch-api.html |
| Licensing / redistribution | CME market-data license; display vs non-display use cases differ — verify at ordering |
| Reliability caveats | Derived data — inherits ZQ methodology assumptions; check revision policy for historical file |
| Best for | Cheap, clean historical Fed-path expectations without building your own ZQ bootstrapping — best value-for-money commercial item in this category |
Econoday
| Field | Value |
|---|---|
| What it is | Institutional-grade economic calendar and consensus provider (the calendar embedded in many broker platforms, incl. Interactive Brokers); API docs public |
| Coverage | US + global releases with consensus ranges, actuals, revisions — the professional way to timestamp every event in this category |
| Granularity | Event-level; real-time actual updates |
| History depth | Multi-decade event/consensus archive — verify depth with sales |
| Latency / updates | Real-time event sync |
| Access method | REST API (enterprise), web calendar subscriptions (retail) |
| Cost | Enterprise API: Contact sales. Retail shop items seen live 2026-07-11: 2026 Agricultural Economic Calendar $14.95, 2025 Econoday Economic Journal $35.00 (listed but sold out as of 2026-07-11) (shop); online calendar subscription price not displayed (demo-gated) |
| Pricing page | https://shop.econoday.com/collections/all |
| Licensing / redistribution | Commercial license; consensus data not redistributable |
| Reliability caveats | Enterprise pricing opaque; retail tier lacks API |
| Best for | Production-grade calendar + consensus if the project graduates from scraped calendars |
Trading Economics API
| Field | Value |
|---|---|
| What it is | Trading Economics — calendar with consensus + 20M-indicator historical database + markets data, REST/streaming |
| Coverage | Full US macro calendar incl. licensed display of ISM/S&P PMI headline history; economic surprise-style aggregates |
| Granularity | Event-level calendar; monthly/quarterly indicators |
| History depth | Decades for indicators (per site marketing) |
| Latency / updates | Calendar actuals updated in real time; streaming API on higher tiers |
| Access method | REST API + client libraries (docs); free trial limited to "100000 data points and 100 requests" (seen on pricing page 2026-07-11) |
| Cost | Contact sales — plan prices are JS-rendered and were not visible to our fetcher; unofficial reported pricing: Standard $149/mo and Professional $299/mo billed yearly (per FXMacroData comparison, June 2026 — unofficial) |
| Pricing page | https://tradingeconomics.com/api/pricing.aspx |
| Licensing / redistribution | Commercial; ISM/PMI values displayed under license — cannot be re-redistributed |
| Reliability caveats | Aggregator — occasional mapping errors on obscure series; consensus panel smaller than Econoday's |
| Best for | One-stop calendar + indicator API at mid-market price; the pragmatic Econoday alternative |
Haver Analytics
| Field | Value |
|---|---|
| What it is | Institutional macro-database vendor (haver.com) — "290+ time-series databases" from 2,500+ sources, delivered "within approximately one minute of release" (site, fetched 2026-07-11) |
| Coverage | Everything in this category incl. licensed content (ISM, Conference Board, UMich) in one schema (USECON et al.) |
| Granularity | Series-level, source-native |
| History depth | Full source histories, professionally curated |
| Latency / updates | ~1 minute post-release |
| Access method | DLX desktop, HaverView web, direct feeds, REST API |
| Cost | Contact sales (no public pricing; institutional — unofficial reputation is five figures/yr, unofficial) (as of 2026-07-11) |
| Pricing page | https://www.haver.com/ |
| Licensing / redistribution | Institutional license; third-party content (ISM etc.) needs pass-through entitlements |
| Reliability caveats | Overkill unless the project institutionalizes |
| Best for | Benchmark of what "complete" looks like; only if budget is institutional |
Macrobond
| Field | Value |
|---|---|
| What it is | Institutional macro data + analytics platform (macrobond.com) comparable to Haver, with API/Excel integration |
| Coverage | Global macro incl. licensed US survey content |
| Granularity | Series-level |
| History depth | Full source histories |
| Latency / updates | Near-release-time |
| Access method | Desktop app, Excel add-in, web API |
| Cost | Contact sales (pricing page not public — a /pricing URL returned 404 on 2026-07-11) |
| Pricing page | https://www.macrobond.com/ |
| Licensing / redistribution | Institutional license, per-seat |
| Reliability caveats | Same as Haver — institutional procurement cycle |
| Best for | Alternative to Haver in institutional RFPs; not for this project's likely budget |
Citi Economic Surprise Index (CESI)
| Field | Value |
|---|---|
| What it is | Citigroup's proprietary index of data surprises vs consensus — the classic "macro momentum" regime indicator |
| Coverage | US (and global variants); directly relevant regime input for index futures |
| Granularity | Daily |
| History depth | Since 2003 (per third-party descriptions — verify) |
| Latency / updates | Daily |
| Access method | Licensed via Bloomberg terminal or Citi Velocity (institutional clients); free views (not data): Yardeni charts (verified live 2026-07-11), MacroMicro chart (unverified — 403 to automated fetchers), Cbonds index page + Excel add-in (unverified — 403 to automated fetchers) |
| Cost | Contact sales (Bloomberg terminal ~$24k/yr context per search results — unofficial); no standalone retail product (as of 2026-07-11) |
| Pricing page | https://cbonds.com/indexes/99130/ |
| Licensing / redistribution | Citi proprietary; chart mirrors cannot be redistributed as data |
| Reliability caveats | Methodology opaque; better DIY route: build your own surprise index from a calendar API's consensus-vs-actual history (Econoday/Trading Economics), which you then own outright |
| Best for | Concept validation via free charts; replicate in-house rather than license |
Conference Board (Consumer Confidence, LEI)
| Field | Value |
|---|---|
| What it is | Consumer Confidence Index and Leading Economic Index; full data via Data Central |
| Coverage | CCI (83 series incl. expectations, buying plans, inflation expectations) + LEI — 10:00 a.m. ET releases that move ES/NQ |
| Granularity | Monthly |
| History depth | CCI to 1967 — verify; full history members-only |
| Latency / updates | Monthly; CCI typically last Tuesday 10:00 a.m. ET — verify |
| Access method | Free: press releases/summary pages on conference-board.org; Full data: Data Central portal (membership) |
| Cost | Contact sales — membership required; no public pricing (as of 2026-07-11) |
| Pricing page | https://data-central.conference-board.org/ |
| Licensing / redistribution | Members-only license; press-release headline numbers quotable with attribution |
| Reliability caveats | Survey redesigns (2023 update to online panel) create breaks (update note) |
| Best for | Headline surprise capture from free press releases; paid tier only if expectations sub-indices become features |
MacroMicro
| Field | Value |
|---|---|
| What it is | Chart/data platform (en.macromicro.me) aggregating macro series incl. licensed displays of ISM, Citi surprise, GDPNow etc. |
| Coverage | Wide US macro chart library; useful mirrors of paywalled series for eyeballing |
| Granularity | Source-native (monthly/weekly/daily) |
| History depth | Source-native |
| Latency / updates | Near-release |
| Access method | Web charts; CSV export and API on paid tiers (enterprise/API plans) |
| Cost | MM Prime reported ~$25–30/month (unofficial, unverified — official pricing/support pages returned 403 to automated fetchers on 2026-07-11; FindMyMoat review lists MM Prime $25/mo and MM Max $28/mo; thetoolsverse reported ~$30/mo) |
| Pricing page | https://en.macromicro.me/subscribe |
| Licensing / redistribution | Display license only; underlying third-party series (ISM, Citi) not redistributable |
| Reliability caveats | Aggregator lag/mapping risk; not a primary source |
| Best for | Cheap visual monitoring of otherwise-paywalled indicators |
EODHD (Economic Events API)
| Field | Value |
|---|---|
| What it is | EODHD market-data vendor whose Economic Events API provides a machine-readable macro calendar with actual/previous/estimate fields |
| Coverage | US + global economic events; no consensus-quality guarantees vs Econoday |
| Granularity | Event-level |
| History depth | Several years of past events — verify depth |
| Latency / updates | Near-real-time actuals — verify SLA |
| Access method | REST JSON |
| Cost | Economic Events included only in ALL-IN-ONE $99.99/month; other tiers seen live 2026-07-11: Free $0, EOD All World $19.99/mo, EOD+Intraday $29.99/mo, Fundamentals $59.99/mo (pricing) |
| Pricing page | https://eodhd.com/pricing |
| Licensing / redistribution | Personal/commercial API license tiers; no redistribution |
| Reliability caveats | Calendar is a side product for this vendor — consensus sourcing opaque |
| Best for | Bundling an econ calendar with price data if already an EODHD customer |
Alpha Vantage (economic indicators endpoints)
| Field | Value |
|---|---|
| What it is | Freemium market-data API whose documentation includes US economic-indicator endpoints — REAL_GDP, TREASURY_YIELD, FEDERAL_FUNDS_RATE, CPI, INFLATION, RETAIL_SALES, DURABLES, UNEMPLOYMENT, NONFARM_PAYROLL (endpoint names confirmed present in the live docs HTML, 2026-07-11) |
| Coverage | Headline US macro series (sourced from FRED — verify), plus FX for dollar proxies |
| Granularity | Monthly/quarterly/daily per endpoint |
| History depth | Source-native (decades for CPI/GDP) |
| Latency / updates | Post-release refresh; not release-time |
| Access method | REST JSON, free API key |
| Cost | Free tier 25 requests/day; premium from $49.99/mo (75 req/min) to $249.99/mo (1200 req/min) — seen live on premium page 2026-07-11 |
| Pricing page | https://www.alphavantage.co/premium/ |
| Licensing / redistribution | API terms; no redistribution |
| Reliability caveats | Thin wrapper over public data — prefer FRED directly unless already using AV for prices; 25/day free limit is tight |
| Best for | Convenience if AV is already in the stack; otherwise redundant with FRED |
ICE U.S. Dollar Index (DXY) data
| Field | Value |
|---|---|
| What it is | The trademarked ICE U.S. Dollar Index (USDX/DX futures on ICE Futures U.S.) — the "DXY" quoted everywhere |
| Coverage | Dollar factor for gold/silver (inverse) and crude; DX futures + the cash index |
| Granularity | Tick/intraday via ICE market data or vendors (e.g. Barchart; whether Databento carries ICE Futures U.S. is Unknown — verify vendor coverage); daily via many terminals |
| History depth | Index since 1985 (futures since 1985) — verify |
| Latency / updates | Real-time (licensed) or delayed |
| Access method | ICE market-data feeds (exchange fees) or redistributors; not on CME feeds — it is an ICE product, so it sits outside the project's CME-centric data plumbing |
| Cost | Contact sales — ICE Futures U.S. market-data fees apply (as of 2026-07-11); free daily proxy: FRED DTWEXBGS (weekly-published) |
| Pricing page | https://www.ice.com/products/194/US-Dollar-Index-Futures |
| Licensing / redistribution | ICE data license + index trademark restrictions |
| Reliability caveats | DXY's fixed 6-currency 1973 basket (57.6% EUR) is stale vs trade patterns — Fed broad index is economically better, DXY is what markets watch |
| Best for | If a live dollar factor is needed, source DX quotes through an existing multi-exchange vendor rather than licensing ICE directly; else use Fed H.10 weekly |
Summary table
| Source | Free tier? | Entry cost | Best for |
|---|---|---|---|
| FRED API | Yes (full) | Free | Core macro series store |
| ALFRED | Yes (full) | Free | Vintage data, look-ahead-bias-free backtests |
| BLS API | Yes (full) | Free | CPI/NFP/PPI official values + calendars |
| BEA API | Yes (full) | Free | GDP/PCE |
| Census EITS API | Yes (full) | Free | Retail sales, durable goods |
| Treasury FiscalData | Yes (full) | Free | Auction history to 1979 |
| TreasuryDirect API | Yes (full) | Free | Auction calendar + results |
| Treasury yield curve CSV | Yes (full) | Free | Daily par curve |
| Fed Board FOMC/speeches | Yes (full) | Free | Policy events + text |
| Fed DDP (H.15/H.10) | Yes (full) | Free | Official rates, broad dollar index |
| NY Fed Markets API | Yes (full) | Free | SOFR/EFFR fixings |
| NY Fed SCE | Yes (full) | Free | Inflation expectations |
| NY Fed Staff Nowcast | Yes (full) | Free | Weekly GDP nowcast + news decomposition |
| Atlanta Fed GDPNow | Yes (full) | Free | Growth nowcast (vintages via ALFRED) |
| Atlanta Fed Market Probability Tracker | Yes (full) | Free | Option-implied rate distributions |
| Cleveland Fed inflation nowcast | Yes (full) | Free | Daily CPI/PCE nowcasts |
| Chicago Fed NFCI | Yes (full) | Free | Weekly financial-conditions regime |
| OFR STFM API | Yes (full) | Free | Repo/funding stress |
| CME FedWatch (web) | Yes | Free | Eyeball Fed-path probabilities |
| DBnomics | Yes (full) | Free | Multi-provider mirror |
| UMich Surveys of Consumers | Yes (post-release) | Sponsor: contact sales | Sentiment + inflation expectations |
| Retail calendars (Investing.com etc.) | Yes | Free | Consensus for prototyping |
| ISM PMI Reports | No (login-gated) | Contact sales | PMI sub-indices (if budgeted) |
| S&P Global PMI | Press releases only | Contact sales | Flash PMI events |
| CME FedWatch API | No | $25/mo EOD (as of 2026-07-11) | Historical Fed-path probabilities to 2015 |
| Econoday | Free web calendar | Retail items $14.95–$35; API contact sales | Production calendar + consensus |
| Trading Economics API | Trial only | Contact sales (unofficial ~$149/mo) | Calendar + 20M indicators, one API |
| Haver Analytics | No | Contact sales | Institutional one-stop macro |
| Macrobond | No | Contact sales | Institutional alternative to Haver |
| Citi Surprise Index | Chart views only | Contact sales (Bloomberg/Velocity) | Regime concept; replicate in-house |
| Conference Board | Press releases only | Contact sales | CCI/LEI sub-indices |
| MacroMicro | Limited free charts | ~$25–30/mo (unofficial, unverified) | Cheap visual monitoring |
| EODHD | No (for calendar) | $99.99/mo ALL-IN-ONE (as of 2026-07-11) | Bundled calendar + price data |
| Alpha Vantage | 25 req/day | $49.99/mo+ (as of 2026-07-11) | Convenience wrapper over public macro |
| ICE DXY data | No | Contact sales (ICE fees) | Live dollar index factor |