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Download FX/commodities data (M1, Tick) from histdata.com.

Project description

FX 1-Minute Dataset (+ Crude Oil and Stock indexes)

Retrieval made easy.

Data specification

This repository contains:

  • A dataset of all the FX prices (1-minute data) from 2000 to late June 2019, in Generic ASCII.
    • More than 66 FX pairs
  • Contains some commodities:
    • WTI/USD = WEST TEXAS INTERMEDIATE in USD
    • BCO/USD = BRENT CRUDE OIL in USD
  • Contains some indexes:
    • SPX/USD = S&P 500 in USD
    • JPX/JPY = NIKKEI 225 in JPY
    • NSX/USD = NASDAQ 100 in USD
    • FRX/EUR = FRENCH CAC 40 in EUR
    • UDX/USD = US DOLLAR INDEX in USD
    • UKX/GBP = FTSE 100 in GBP
    • GRX/EUR = DAX 30 in EUR
    • AUX/AUD = ASX 200 in AUD
    • HKX/HKD = HAN SENG in HKD E - TX/EUR = EUROSTOXX 50 in EUR
  • A set of functions to download the historical prices yourself.

All the data is retrieved from: http://www.histdata.com/

Any file in a dataset is zipped and contains:

  • a CSV (semicolon separated file).
  • a status report (containing some meta data such as gaps).

Any CSV file looks like this:

20120201 000000;1.306600;1.306600;1.306560;1.306560;0
20120201 000100;1.306570;1.306570;1.306470;1.306560;0
20120201 000200;1.306520;1.306560;1.306520;1.306560;0
20120201 000300;1.306610;1.306610;1.306450;1.306450;0
20120201 000400;1.306470;1.306540;1.306470;1.306520;0
[...]

Headers are not included in the CSV files. They are:

DateTime Stamp;Bar OPEN Bid Quote;Bar HIGH Bid Quote;Bar LOW Bid Quote;Bar CLOSE Bid Quote;Volume

DateTime Stamp

Format: YYYYMMDD HHMMSS

Legend:

  • YYYY – Year
  • MM – Month (01 to 12)
  • DD – Day of the Month
  • HH – Hour of the day (in 24h format)
  • MM – Minute
  • SS – Second, in this case it will be always 00

TimeZone: Eastern Standard Time (EST) time-zone WITHOUT Day Light Savings adjustments

OPEN Bid Quote

The open (first) bid quote of the 1M bin.

HIGH Bid Quote

The highest bid quote of the 1M bin.

LOW Bid Quote

The lowest bid quote of the 1M bin.

CLOSE Bid Quote

The close (last) bid quote of the 1M bin.

Volume

Number of lots. From what I saw it's always 0 here.

Data files provided: Early 2000 to nowadays

Available here: 2000-Jun2019

How to download your own dataset?

This command will re-download all the FULL FX dataset up to today (expect the runtime to be ~4 hours).

pip install -r requirements.txt
python download_all_fx_data.py

API

Then, of course, you can use directly the API in api.py. There are two endpoints depending on what you query:

  • If you want data for the current year, then you have to query it per month.
def download_fx_m1_data(year='2016', month='7', pair='eurgbp'):
    """
    Download 1-Minute FX data per month.
    :param year: Trading year. Format is 2016.
    :param month: Trading month. Format is 7 or 12.
    :param pair: Currency pair. Example: eurgbp.
    :return: ZIP Filename.
    """
  • If you are interested in data for the past years, then you can query per year.
def download_fx_m1_data_year(year='2016', pair='eurgbp'):
    """
    Download 1-Minute FX data per year.
    :param year: Trading year. Format is 2016.
    :param month: Trading month. Format is 7 or 12.
    :param pair: Currency pair. Example: eurgbp.
    :return: ZIP Filename.
    """

Project details


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This version

1.0

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