tickterial 1.1.1

Download tick data from Dukascopy Bank SA to local cache, and simulate multi-symbol time-ordered price streams to stdout.

tickterial: forex & cfd tick data

Download and cache tick data from Dukascopy Bank SA.

Installation ::Python3

pip install tickterial

Example multi-symbol stream download:

$ tickterial --symbols GBPUSD EURUSD USDJPY XAUUSD --start '2024-04-08 17:00:00' --end '2024-04-10 00:00:00' --progress true

timestamp, symbol, ask-price, bid-price, ask-volume, bid-volume
...
1712696398.152,GBPUSD,1.26785,1.26774,900000,900000
1712696398.192,USDJPY,1.51808,1.51759,1800000,1800000
1712696398.295,XAUUSD,2353.505,2352.835,90,470
1712696398.343,USDJPY,1.51808,1.51755,1800000,1800000
...

• Easy, normalized prices, multi-currency, simultaneous and ordered price output!

Why the name?

I thought of tick material as a replacement for tick-data, which has been used way too many times already, both in research and code.

What & how the code works:

This python module downloads tick data on request and caches downloads to disk for subsequent calls. Finally, a quick and easy historical data collection for backtesting your forex trading algorithms! Currency pairs(tested) and more(untested) instruments on this page are supported. Email me for requests. Note that this code respects their API rate-limits. As such, asyncronous frameworks like aiohttp largely returned errors, before I settled for a syncronous. A work-around is to use a list of proxies for each individual request (planned).

Usage

Two modes are supported.

• As a commandline program with arguments (python's argparse is beautiful!)
• Embedded in your python code.

Usage example 1: Module usage

from datetime import datetime
from tickterial import Tickloader


def test_download():
	tickloader = Tickloader()
	period = datetime(hour=17, day=8,month=4, year=2024)
	print(period.ctime())
	#
	ticks = list()
	if data := tickloader.download('GBPUSD', period):
		for tick in data:
			ticks.append(tick)
		if ticks:
			print(f'{period} tick count: {len(ticks)}')
			print(ticks[0])
		else:
			print('No data!')

test_download()
print('--end--')

#output:
# {'timestamp': 1689631196.875, 'ask': 1.30788, 'bid': 1.30778, 'ask-vol': 900000, 'bid-vol': 900000}

Usage example 2: Commandlie program

• pip install tickterial
• tickterial -h to check supported arguments.
• The Makefile in the project root directory has a sample invocation that downloads ticks for listed symbols and timeframes, streaming to stdout.
• For multi-symbol downloads, the streams are ordered by timestamp(wow!). You can stream ordered prices for say EURUSD, GBPUSD etc

# Output format is: <timestamp, symbol, ask, bid, ask-volume, bid-volume>,[repeated if multiple symbols at same timestamp]

#Sample output:
1712696398.152,GBPUSD,1.26785,1.26774,900000,900000
1712696398.192,USDJPY,1.51808,1.51759,1800000,1800000
1712696398.295,XAUUSD,2353.505,2352.835,90,470
1712696398.343,USDJPY,1.51808,1.51755,1800000,1800000

#When multiple ticks exist in the same timestamp, the output is concatenated as such:
1712696267.989,EURUSD,1.0857,1.08569,990000,900000,1712696267.989,GBPUSD,1.26778,1.26769,900000,900000

• Keeping track of the number of , should allow easy partitioning of the ticks for backtesting systems. -My next project. ;)

TODO

• Add console functionality - Done!
• Use proxies to perform async downloads. - Planned

Notes

• Cache is store in UTC. Pass your UTC time difference as last parameter to tickloader.download to fix local time offset.
• Tick data can only be fetched to the previous hour. Current hour returns 404, thus ignored.
• Cache is stored in current working directory(default), path = $(pwd)/.tick-data. Move this directory when migrating to keep your downloaded data.

Support the project

I couldn't pay for my college. I therefore learn on my own to create amazing software that can impact this world ways I can. A little help will offload my bills and give me more working time.

• You can paypal at me: [e-mail]
• Contact me for requests, optimizations, pull-requests and every other interesting topic.

for the spirit of opensource:
	#drui9```