histdatacom 0.75.0

A Multi-threaded/Multi-Process command-line utility and python package that downloads currency exchange rates from Histdata.com. Imports to InfluxDB. Can be used in Jupyter Notebooks.

histdata.com-tools

A Multi-threaded/Multi-Process command-line utility and python package that downloads currency exchange rates from Histdata.com. Imports to InfluxDB. Can be used in Jupyter Notebooks.

• histdata.com-tools
• Disclaimer
• Setup
• Usage
  • Help
  • Basic Use
  • Available Formats
  • Date Ranges
    • 'Start' & 'Now' Keywords
  • Multiple Datasets
  • Import to InfluxDB
    • influxdb.yaml
  • Other Scripts, Modules, & Jupyter Support
• Roadmap

Disclaimer

I am in no way affiliated with histdata.com or its maintainers. Please use this application in a way that respects the hard work and resources of histdata.com

If you choose to use this tool, it is strongly suggested that you head over to http://www.histdata.com/download-by-ftp/ and sign up to help support their traffic costs.

If you find this tool helpful and would like to support future development, I'm in need of caffeine, feel free to buy me coffee!

Setup

#  Create a new project directory and change to it
#
$ mkdir myproject && cd myproject

#  Create a Python Virtual Environment and activate it
#
$ python -m venv venv && source venv/bin/activate

#  Confirm Python Path and Verion
#
$ which python && python --version

#  Install the histdata.com-tools package from github
#
$ pip install git+https://github.com/dmidlo/histdata.com-tools.git

# Run `histdatacom` to view help message and Options
#
$ histdatacom -h

Usage

Note #1 The number one rule when using this tool is to be MORE specific with your input to limit the size of your request.

Note #2 histdatacom is a very powerful tool and has the capability to fetch the entire repository housed on histdata.com. This is NEVER necessary. If you are using this tool to fetch data for your favorite trading application, do not download data in all available formats.

It is likely the default behavior will be modified from its current state to discourage unnecessarily large requests.

*please submit feature requests and bug reports using this repository's issue tracker.

Help

# Show the help and options
#
$ histdatacom -h
usage: histdatacom [-h] [-V] [-D] [-X] [-I] [-p PAIR [PAIR ...]] [-f FORMAT [FORMAT ...]] [-t TIMEFRAME [TIMEFRAME ...]] [-s START_YEARMONTH] [-e END_YEARMONTH]
                   [-d DATA_DIRECTORY]

options:
  -h, --help            show this help message and exit
  -V, --validate_urls   Check generated list of URLs as valid download locations
  -D, --download_data_archives
                        download specified pairs/formats/timeframe and create data files
  -X, --extract_csvs    histdata.com delivers zip files. use the -X flag to extract them to .csv.
  -I, --import_to_influxdb
                        import csv data to influxdb instance. Use influxdb.yaml to configure.
  -p PAIR [PAIR ...], --pairs PAIR [PAIR ...]
                        space separated currency pairs. e.g. -p eurusd usdjpy ...
  -f FORMAT [FORMAT ...], --formats FORMAT [FORMAT ...]
                        space separated formats. e.g. -f metatrader ascii ninjatrader metastock
  -t TIMEFRAME [TIMEFRAME ...], --timeframes TIMEFRAME [TIMEFRAME ...]
                        space separated Timeframes. e.g. -t tick-data-quotes 1-minute-bar-quotes ...
  -s START_YEARMONTH, --start_yearmonth START_YEARMONTH
                        set a start year and month for data. e.g. -s 2000-04 or -s 2015-00
  -e END_YEARMONTH, --end_yearmonth END_YEARMONTH
                        set a start year and month for data. e.g. -s 2020-00 or -s 2022-04
  -d DATA_DIRECTORY, --data-directory DATA_DIRECTORY
                        Directory Used to save data. default is "data" in the current directory

Basic Use

# Download and extract the current month's 
# available EURUSD data for metatrader 4/5
# into the default data directory ./data
#
$ histdatacom -p eurusd -f metatrader -s now

# include the -D flag to download 
# but NOT extract to csv.
# 
$ histdatacom -D -p usdcad -f metastock -s now

Available Formats

# The formats available are:
# metatrader, metastock, ninjatrader, excel, and ascii.
#
# histdata.com provides different resolutions of time
# depending on the format.
#
# The following format/timeframe combinations are available:
#
#    1-minute-bar-quotes -- all formats 
#    tick-data-quotes ----- ascii
#    tick-last-quotes ----- ninjatrader
#    tick-bid-quotes ------ ninjatrader
#    tick-ask-quotes ------ ninjatrader

# To download 1-minute-bar-quotes for both metastock and excel
#
$ histdatacom -p usdjpy -f metastock excel -s now 

Date Ranges

# date ranges are for year and month and can be specified
# in the following ways [ -._]:
#    2022-04
#   "2202 04"
#    2202.04
#    2202_04

# to fetch a single year's data, do not use a month
#    - note: unless you're fetching data for the current year,
#            tick data types will fetch 12 files for each month
#            of the year, 1-minute-bar-quotes will fetch a single
#            OHLC file with the whole year's data.
#            
$ histdatacom -p udxusd -f ascii -t tick-data-quotes -s 2011

# to fetch a single month's data, include a month, but do not
# use the -e, --end_yearmonth flag.
#
#   * if you're requesting 1-minute-bar-quotes for any
#     year except the current year, you will receive the
#     the whole year's data
#
#   * this example leaves out the -p --pair flag, and will
#     fetch data for all 66 available instruments
#
$ histdatacom -f metatrader -s 2012-07

'Start' & 'Now' Keywords

# you may hav noticed that two special year-month keywords exist
#  'start' and 'now'
#
#  -'start' may only be used with the -s --start_yearmonth
#    flag and the -e --end_yearmonth flag must be specified
#    to indicate a range of data
#
$ histdatacom -p audusd -f metatrader -s start -e 2008-12
#
#  -'now' when used alone will return the current year-month
#        - when used with as '-s now' it will return the
#          most current month's data
#
$ histdatacom -p frxeur -f ninjatrader -s now
#
#   in the above example, no -t --timeframe flag was
#   specified. This will return all time resolutions
#   available for the specified format(s)
#
#   'now' when used with the -e --end_yearmonth flag
#    is intended to be the end of a range. Rather,
#    if the flags were to be -s 2019-04 -e now
#    the request would return data from April 2019 
#    to the present.
#
$ histdatacom -p xagusd -f ascii -1-minute-bar-quotes -s 2019-04 -e now

Multiple Datasets

# multiple datasets can be requested in one command
# 
# this example with use the -e --end_yearmonth flag
# to request a range of data for multiple instruments
#
#  - note: Large requests like these are to be avoided.
#          remember to sign up with histdata.com to help
#          them pay for network costs
#
$ histdatacom -p eurusd usdcad udxusd -f metatrader -s start -e 2017-04

Import to InfluxDB

# To import data to an influxdb instance, use the -I flag
# along with an influxdb.yaml file in the current working
# directory (where ever you are running the command from).
#
#  - ascii is the only format accepted for influxdb import.
#
#  - all histdata.com datetime data is in EST (Eastern Standard Time)
#    with no adjustments for daylight savings.
#
#  - Influxdb does not adjust for timezone and all datetime data
#    is recorded as UTC epoch timestamps (nano-seconds since 
#    midnight 00:00, January, 1st, 1970)
#
#  - this tool converts histdata.com ESTnoDST to UTC Epoch 
#    milli-second timestamps as part of the import-to-influx process
#
$ histdatacom -I -p eurusd -f ascii -t tick-data-quotes -s start -e now

influxdb.yaml

# a sample influxdb.yaml file.
influxdb:
  org: influx_org
  bucket: data_bucket
  url: influx_server_api_url
  token: influx_user_token

Other Scripts, Modules, & Jupyter Support

# Basic support for Jupyter notebooks and calling from another script/module
#  - there is no return value from calling histdatacom,
#    it functions only as far as the cli version does, that is,
#    that it will validate, download, extract, and/or import to influxdb.
#    After that, It would be up the developer to work with the files on disk
#    or to query influxdb.
#
#  - for progress bars in jupyter you will need to install the ipywidgets package
#     sh 
#        $ pip install ipywidgets
#
#  First import the required modules
import histdatacom
from histdatacom.cli import ArgsNamespace

# Create a new options object to pass parameters to histdatacom
options = ArgsNamespace

# Configure
options.extract_csvs = True
options.formats = {"ascii"}
options.timeframes = {"tick-data-quotes"}
options.pairs = {"audusd","udxusd","eurusd"}
options.start_yearmonth = "2022-03"
options.end_yearmonth = "2022-04"

# pass the options to histdatacom
histdatacom(options)  # (Jupyter)

#  at present, calling from another script or module is limited
#  to using the __name__=="__main__" idiom.
if __name__=="__main__": 
   histdatacom(options)

Roadmap

• return datatable/pandas/dask dataframe when called from jupyter or another module