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dl_bt_dukascopy.py
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dl_bt_dukascopy.py
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#!/usr/bin/env python3
# Sample usage:
# ./dl_bt_dukascopy.py -p EURUSD -y 2013,2014
import sys
import os
import argparse
import datetime
import time
import urllib.request, socket
from urllib.error import HTTPError,ContentTooShortError
try:
import lzma
except ImportError:
from backports import lzma
from struct import *
import csv
import subprocess
intlist = lambda l: list(map(int, l))
# Create a mapping of currencies.
all_currencies = {
# Currency pairs.
"AUDJPY": 1175270400, # starting from 2007.03.30 16:00
"AUDNZD": 1229961600, # starting from 2008.12.22 16:00
"AUDUSD": 1175270400, # starting from 2007.03.30 16:00
"CADJPY": 1175270400, # starting from 2007.03.30 16:00
"CHFJPY": 1175270400, # starting from 2007.03.30 16:00
"EURAUD": 1175270400, # starting from 2007.03.30 16:00
"EURCAD": 1222167600, # starting from 2008.09.23 11:00
"EURCHF": 1175270400, # starting from 2007.03.30 16:00
"EURGBP": 1175270400, # starting from 2007.03.30 16:00
"EURJPY": 1175270400, # starting from 2007.03.30 16:00
"EURNOK": 1175270400, # starting from 2007.03.30 16:00
"EURSEK": 1175270400, # starting from 2007.03.30 16:00
"EURUSD": 1175270400, # starting from 2007.03.30 16:00
"GBPCHF": 1175270400, # starting from 2007.03.30 16:00
"GBPJPY": 1175270400, # starting from 2007.03.30 16:00
"GBPUSD": 1175270400, # starting from 2007.03.30 16:00
"NZDUSD": 1175270400, # starting from 2007.03.30 16:00
"USDCAD": 1175270400, # starting from 2007.03.30 16:00
"USDCHF": 1175270400, # starting from 2007.03.30 16:00
"USDJPY": 1175270400, # starting from 2007.03.30 16:00
"USDNOK": 1222639200, # starting from 2008.09.28 22:00
"USDSEK": 1222642800, # starting from 2008.09.28 23:00
"USDSGD": 1222642800, # starting from 2008.09.28 23:00
"AUDCAD": 1266318000, # starting from 2010.02.16 11:00
"AUDCHF": 1266318000, # starting from 2010.02.16 11:00
"CADCHF": 1266318000, # starting from 2010.02.16 11:00
"EURNZD": 1266318000, # starting from 2010.02.16 11:00
"GBPAUD": 1266318000, # starting from 2010.02.16 11:00
"GBPCAD": 1266318000, # starting from 2010.02.16 11:00
"GBPNZD": 1266318000, # starting from 2010.02.16 11:00
"NZDCAD": 1266318000, # starting from 2010.02.16 11:00
"NZDCHF": 1266318000, # starting from 2010.02.16 11:00
"NZDJPY": 1266318000, # starting from 2010.02.16 11:00
"XAGUSD": 1289491200, # starting from 2010.11.11 16:00
"XAUUSD": 1305010800, # starting from 2011.05.10 07:00
"ADSDEEUR": 1426201200, # starting from 2015.03.13 00:00
"ALVDEEUR": 1429394400, # starting from 2015.04.19 00:00
"AUSIDXAUD": 1402524000, # starting from 2014.06.12 00:00
"BASDEEUR": 1429678800, # starting from 2015.04.22 07:00
"BAYNDEEUR": 1426806000, # starting from 2015.03.20 00:00
"BEIDEEUR": 1428444000, # starting from 2015.04.08 00:00
"BMWDEEUR": 1427151600, # starting from 2015.03.24 00:00
"BRENTCMDUSD": 1291244400, # starting from 2010.12.02 00:00
"CHEIDXCHF": 1356994800, # starting from 2013.01.01 00:00
"CONDEEUR": 1428444000, # starting from 2015.04.08 00:00
"DAIDEEUR": 1427410800, # starting from 2015.03.27 00:00
"DB1DEEUR": 1428962400, # starting from 2015.04.14 00:00
"DBKDEEUR": 1427238000, # starting from 2015.03.25 00:00
"DEUIDXEUR": 1356994800, # starting from 2013.01.01 00:00
"DTEDEEUR": 1427752800, # starting from 2015.03.31 00:00
"EOANDEEUR": 1429480800, # starting from 2015.04.20 00:00
"ESPIDXEUR": 1427238000, # starting from 2015.03.25 00:00
"EUSIDXEUR": 1433196000, # starting from 2015.06.02 00:00
"FMEDEEUR": 1427839200, # starting from 2015.04.01 00:00
"FRAIDXEUR": 1356994800, # starting from 2013.01.01 00:00
"FREDEEUR": 1428616800, # starting from 2015.04.10 00:00
"HEIDEEUR": 1427925600, # starting from 2015.04.02 00:00
"HEN3DEEUR": 1429567200, # starting from 2015.04.21 00:00
"HKGIDXHKD": 1370210400, # starting from 2013.06.03 00:00
"IFXDEEUR": 1428876000, # starting from 2015.04.13 00:00
"JPNIDXJPY": 1356994800, # starting from 2013.01.01 00:00
"LHADEEUR": 1429567200, # starting from 2015.04.21 00:00
"LIGHTCMDUSD": 1427839200, # starting from 2015.04.01 00:00
"LINDEEUR": 1429567200, # starting from 2015.04.21 00:00
"LXSDEEUR": 1429567200, # starting from 2015.04.21 00:00
"MRKDEEUR": 1427151600, # starting from 2015.03.24 00:00
"MUV2DEEUR": 1429567200, # starting from 2015.04.21 00:00
"PAH3DEEUR": 1429567200, # starting from 2015.04.21 00:00
"PSMDEEUR": 1429480800, # starting from 2015.04.20 00:00
"RWEDEEUR": 1429135200, # starting from 2015.04.16 00:00
"SAPDEEUR": 1429135200, # starting from 2015.04.16 00:00
"SDFDEEUR": 1429048800, # starting from 2015.04.15 00:00
"SIEDEEUR": 1429480800, # starting from 2015.04.20 00:00
"TKADEEUR": 1428962400, # starting from 2015.04.14 00:00
"TUI1DEEUR": 1429048800, # starting from 2015.04.15 00:00
"USA30IDXUSD": 1356994800, # starting from 2013.01.01 00:00
"USA500IDXUSD": 1356994800, # starting from 2013.01.01 00:00
"USATECHIDXUSD": 1356994800, # starting from 2013.01.01 00:00
"VNADEEUR": 1428962400, # starting from 2015.04.14 00:00
"VOW3DEEUR": 1428962400, # starting from 2015.04.14 00:00
# commodities - energy
#"E_Light": 1324375200, # Light starting from 2011.12.20 10:00
#"E_Brent": 1326988800, # Brent starting from 2012.01.19 16:00
# commodities - metals
#"E_Copper": 1326988800, # Copper starting from 2012.01.19 16:00
#"E_Palladium": 1326988800, # Palladium starting from 2012.01.19 16:00
#"E_Platinum": 1326988800, # Platinum starting from 2012.01.19 16:00
# indices - Europe
#"E_DJE50XX": 1326988800, # Europe 50 starting from 2012.01.19 16:00
#"E_CAAC40": 1326988800, # France 40 starting from 2012.01.19 16:00
#"E_Futsee100": 1326988800, # UK 100 starting from 2012.01.19 16:00
#"E_DAAX": 1326988800, # Germany 30 starting from 2012.01.19 16:00
#"E_SWMI": 1326988800, # Switzerland 20 starting from 2012.01.19 16:00
# indices - Americas
#"E_NQcomp": 1326988800, # US Tech Composite starting from 2012.01.19 16:00
"E_Nysseecomp": 1326988800, # US Composite starting from 2012.01.19 16:00
#"E_DJInd": 1326988800, # US 30 starting from 2012.01.19 16:00
#"E_NQ100": 1326988800, # US 100 Tech starting from 2012.01.19 16:00
#"E_SandP500": 1326988800, # US 500 starting from 2012.01.19 16:00
#"E_AMMEKS": 1326988800, # US Average starting from 2012.01.19 16:00
# indices - Asia / Pacific
#"E_HKong": 1328475600, # Hong Kong 40 starting from 2012.02.05 21:00
"E_SCKorea": 1326988800, # Korea 200 starting from 2012.01.19 16:00
#"E_N225Jap": 1328486400, # Japan 225 starting from 2012.02.06 00:00
# stocks - Australia
#"E_ANZASX": 1348146000, # Australia & Nz Banking starting from 2012.09.20 13:00
#"E_BHPASX": 1348156800, # Bhp Billiton starting from 2012.09.20 16:00
#"E_CBAASX": 1348156800, # Commonwealth Bank Of Australia starting from 2012.09.20 16:00
#"E_NABASX": 1348156800, # National Australia Bank starting from 2012.09.20 16:00
#"E_WBCASX": 1348156800, # Westpac Banking starting from 2012.09.20 16:00
# stocks - Hungary
#"E_EGISBUD": 1348146000, # Egis Nyrt starting from 2012.09.20 13:00
#"E_MOLBUD": 1348146000, # Mol Hungarian Oil & Gas Nyrt starting from 2012.09.20 13:00
#"E_MTELEKOMBUD": 1348146000, # Magyar Telekom Telecommunications starting from 2012.09.20 13:00
#"E_OTPBUD": 1348146000, # Ot Bank Nyrt starting from 2012.09.20 13:00
#"E_RICHTERBUD": 1348146000, # Richter Gedeon Nyrt starting from 2012.09.20 13:00
# stocks - France
#"E_BNPEEB": 1341594000, # BNP Paribas starting from 2012.07.06 17:00
#"E_FPEEB": 1341594000, # Total starting from 2012.07.06 17:00
#"E_FTEEEB": 1341594000, # France Telecom starting from 2012.07.06 17:00
#"E_MCEEB": 1341594000, # LVMH Moet Hennessy Louis Vuitton starting from 2012.07.06 17:00
#"E_SANEEB": 1341594000, # Sanofi starting from 2012.07.06 17:00
# stocks - Netherlands
#"E_MTEEB": 1333101600, # ArcelorMittal starting from 2012.03.30 10:00
#"E_PHIA": 1341406800, # Koninklijke Philips Electronics starting from 2012.07.04 13:00
#"E_RDSAEEB": 1333101600, # Royal Dutch Shell starting from 2012.03.30 10:00
#"E_UNAEEB": 1333101600, # Unilever starting from 2012.03.30 10:00
# stocks - Germany
#"E_BAY": 1330948800, # Bayer starting from 2012.03.05 12:00
#"E_BMWXET": 1333101600, # BMW starting from 2012.03.30 10:00
#"E_EOANXET": 1333101600, # E.On starting from 2012.03.30 10:00
#"E_SIEXET": 1341604800, # Siemens starting from 2012.07.06 20:00
#"E_VOWXET": 1341604800, # Volkswagen starting from 2012.07.06 20:00
# stocks - Hong Kong
#"E_0883HKG": 1341781200, # CNOOC starting from 2012.07.08 21:00
#"E_0939HKG": 1341784800, # China Construction Bank starting from 2012.07.08 22:00
#"E_0941HKG": 1341781200, # China Mobile starting from 2012.07.08 21:00
#"E_1398HKG": 1341781200, # ICBC starting from 2012.07.08 21:00
#"E_3988HKG": 1341784800, # Bank Of China starting from 2012.07.08 22:00
# stocks - UK
#"E_BLTLON": 1333101600, # BHP Billiton starting from 2012.03.30 10:00
#"E_BP": 1326988800, # BP starting from 2012.01.19 16:00
#"E_HSBA": 1326988800, # HSBC Holdings starting from 2012.01.19 16:00
#"E_RIOLON": 1333101600, # Rio Tinto starting from 2012.03.30 10:00
#"E_VODLON": 1333101600, # Vodafone starting from 2012.03.30 10:00
# stocks - Spain
#"E_BBVAMAC": 1348149600, # BBVA starting from 2012.09.20 14:00
#"E_IBEMAC": 1348149600, # Iberdrola starting from 2012.09.20 14:00
#"E_REPMAC": 1348149600, # Repsol starting from 2012.09.20 14:00
#"E_SANMAC": 1348149600, # Banco Santander starting from 2012.09.20 14:00
#"E_TEFMAC": 1348149600, # Telefonica starting from 2012.09.20 14:00
# stocks - Italy
#"E_EN": 1348146000, # Enel starting from 2012.09.20 13:00
#"E_ENIMIL": 1348146000, # Eni starting from 2012.09.20 13:00
#"E_FIA": 1348146000, # Fiat starting from 2012.09.20 13:00
#"E_GMIL": 1348146000, # Generali starting from 2012.09.20 13:00
#"E_ISPMIL": 1348146000, # Intesa Sanpaolo starting from 2012.09.20 13:00
#"E_UCGMIL": 1348146000, # Unicredit starting from 2012.09.20 13:00
# stocks - Denmark
#"E_CARL_BOMX": 1348149600, # Carlsberg starting from 2012.09.20 14:00
#"E_DANSKEOMX": 1348149600, # Danske Bank starting from 2012.09.20 14:00
#"E_MAERSK_BOMX": 1348149600, # Moeller Maersk B starting from 2012.09.20 14:00
#"E_NOVO_BOMX": 1348149600, # Novo Nordisk starting from 2012.09.20 14:00
#"E_VWSOMX": 1348149600, # Vestas Wind starting from 2012.09.20 14:00
# stocks - Sweden
#"E_SHB_AOMX": 1348149600, # Svenska Handelsbanken starting from 2012.09.20 14:00
#"E_SWED_AOMX": 1348149600, # Swedbank starting from 2012.09.20 14:00
#"E_TLSNOMX": 1348149600, # Teliasonera starting from 2012.09.20 14:00
#"E_VOLV_BOMX": 1348149600, # Volvo B starting from 2012.09.20 14:00
#"E_NDAOMX": 1348149600, # Nordea Bank starting from 2012.09.20 14:00
# stocks - Norway
#"E_DNBOSL": 1348146000, # DNB starting from 2012.09.20 13:00
#"E_SDRLOSL": 1348146000, # Seadrill starting from 2012.09.20 13:00
#"E_STLOSL": 1348146000, # StatoilHydro starting from 2012.09.20 13:00
#"E_TELOSL": 1348146000, # Telenor starting from 2012.09.20 13:00
#"E_YAROSL": 1348146000, # Yara starting from 2012.09.20 13:00
# stocks - Singapore
#"E_C07SES": 1348149600, # Jardine Matheson starting from 2012.09.20 14:00
#"E_D05SES": 1348149600, # DBS Group starting from 2012.09.20 14:00
#"E_O39SES": 1348153200, # Oversea-Chinese Banking starting from 2012.09.20 15:00
#"E_U11SES": 1348149600, # United Overseas Bank starting from 2012.09.20 14:00
#"E_Z74SES": 1348149600, # Singapore Telecommunications starting from 2012.09.20 14:00
# stocks - Switzerland
#"E_CSGN": 1326988800, # Cs Group starting from 2012.01.19 16:00
#"E_NESN": 1326988800, # Nestle starting from 2012.01.19 16:00
#"E_NOVNSWX": 1333101600, # Novartis starting from 2012.03.30 10:00
#"E_UBSN": 1326988800, # UBS starting from 2012.01.19 16:00
# stocks - Austria
#"E_ANDRVIE": 1348149600, # Andritz starting from 2012.09.20 14:00
#"E_EBS": 1348149600, # Erste Group Bank starting from 2012.09.20 14:00
#"E_OMVVIE": 1348149600, # OMV starting from 2012.09.20 14:00
#"E_RBIVIE": 1348149600, # Raiffeisen Bank starting from 2012.09.20 14:00
#"E_VOE": 1348149600, # Voestalpine starting from 2012.09.20 14:00
# stocks - Poland
#"E_KGHWAR": 1348146000, # KGHM Polska Miedz starting from 2012.09.20 13:00
#"E_PEOWAR": 1348146000, # Bank Pekao starting from 2012.09.20 13:00
#"E_PKNWAR": 1348146000, # Polski Koncern Naftowy Orlen starting from 2012.09.20 13:00
#"E_PKOBL1WAR": 1348146000, # Powszechna Kasa Oszczednosci Bank Polski starting from 2012.09.20 13:00
#"E_PZUWAR": 1348146000, # Powszechny Zaklad Ubezpieczen starting from 2012.09.20 13:00
# stocks - US
#"E_AAPL": 1333101600, # Apple starting from 2012.03.30 10:00
#"E_AMZN": 1324375200, # Amazon starting from 2011.12.20 10:00
#"E_AXP": 1326988800, # American Express starting from 2012.01.19 16:00
#"E_BAC": 1324375200, # Bank Of America starting from 2011.12.20 10:00
#"E_CL": 1333101600, # Colgate Palmolive starting from 2012.03.30 10:00
#"E_CSCO": 1324375200, # Cisco starting from 2011.12.20 10:00
#"E_DELL": 1326988800, # Dell starting from 2012.01.19 16:00
#"E_DIS": 1324375200, # Disney Walt starting from 2011.12.20 10:00
#"E_EBAY": 1326988800, # Ebay starting from 2012.01.19 16:00
#"E_GE": 1324375200, # General Electric starting from 2011.12.20 10:00
#"E_GM": 1324375200, # General Motors starting from 2011.12.20 10:00
#"E_GOOGL": 1324375200, # Google starting from 2011.12.20 10:00
#"E_HD": 1326988800, # Home Depot starting from 2012.01.19 16:00
#"E_HPQ": 1324375200, # Hewlett Packard starting from 2011.12.20 10:00
#"E_IBM": 1324375200, # IBM starting from 2011.12.20 10:00
#"E_INTC": 1324375200, # Intel starting from 2011.12.20 10:00
#"E_JNJ": 1324375200, # Johnson & Johnson starting from 2011.12.20 10:00
#"E_JPM": 1324375200, # JPMorgan Chase starting from 2011.12.20 10:00
#"E_KO": 1324375200, # Coca Cola starting from 2011.12.20 10:00
#"E_MCD": 1324375200, # McDonalds starting from 2011.12.20 10:00
#"E_MMM": 1324375200, # 3M starting from 2011.12.20 10:00
#"E_MSFT": 1324375200, # Microsoft starting from 2011.12.20 10:00
#"E_ORCL": 1324375200, # Oracle starting from 2011.12.20 10:00
#"E_PG": 1324375200, # Procter & Gamble starting from 2011.12.20 10:00
#"E_PM": 1333105200, # Philip Morris starting from 2012.03.30 11:00
#"E_SBUX": 1326988800, # Starbucks starting from 2012.01.19 16:00
#"E_T": 1324378800, # AT&T starting from 2011.12.20 11:00
#"E_UPS": 1333105200, # UPS starting from 2012.03.30 11:00
"E_VIXX": 1326988800, # Cboe Volatility Index starting from 2012.01.19 16:00
#"E_WMT": 1326988800, # Wal-Mart Stores starting from 2012.01.19 16:00
#"E_XOM": 1324375200, # Exxon Mobil starting from 2011.12.20 10:00
#"E_YHOO": 1326988800, # Yahoo starting from 2012.01.19 16:00
}
class Dukascopy:
url_tpl = "http://www.dukascopy.com/datafeed/%s/%04d/%02d/%02d/%02dh_ticks.bi5"
def __init__(self, pair, year, month, day, hour, dest = "download/dukascopy"):
if not os.path.exists(dest):
os.makedirs(dest)
self.year = year
self.month = month
self.day = day
self.hour = hour
self.url = self.url_tpl % (pair, int(year), month - 1, day, hour)
self.path = "%s/%04d/%02d/%04d-%02d-%02d--%02dh_ticks.bi5" % (dest, year, month, year, month, day, hour)
def download(self):
print("Downloading %s into: %s..." % (self.url, self.path))
if os.path.isfile(self.path):
print("File (%s) exists, so skipping." % (self.path));
return True
else:
if not os.path.exists(os.path.dirname(self.path)):
os.makedirs(os.path.dirname(self.path))
i = 1
while i <= 5:
try:
urllib.request.urlretrieve(self.url, filename=self.path)
break
except HTTPError as err:
print("Error: %s, reason: %s. Retrying (%i).." % (err.code, err.reason, i));
i += 1
except IOError as err:
print("Error: %s, reason: %s. Retrying (%i).." % (err.errno, err.strerror, i));
i += 1
except socket.timeout as err:
print("Network error: %s. Retrying (%i).." % (err.strerror, i));
i += 1
except socket.error as err:
print("Network error: %s. Retrying (%i).." % (err.strerror, i));
i += 1
except ContentTooShortError as err:
print("Error: The downloaded data is less than the expected amount, so skipping.")
i += 1
if i == 5:
return False
return True
def bt5_to_csv(self):
try:
fileSize = os.stat(self.path).st_size
if fileSize == 0:
print("File (%s) is empty" % (self.path))
return
except FileNotFoundError:
return False
new_path = self.path.replace("bi5", "csv")
if os.path.isfile(new_path):
print("CSV file (%s) exists, so skipping." % (new_path));
print("Converting into CSV (%s)..." % (new_path))
# Opening, uncompressing & reading raw data
try:
with lzma.open(self.path) as f:
data = f.read()
# Workaround for liblzma bug (https://bugs.python.org/issue21872)
except EOFError:
print("Info: Ran into liblzma decompressor bug, falling back to command line decompression...")
try:
pipe = subprocess.Popen(['xz', '-dc', self.path], stdout=subprocess.PIPE)
except FileNotFoundError:
print("Error: Unable to find the 'xz' LZMA decompressor utility in your PATH, moving on.")
return False
data, error = pipe.communicate()
# Opening output CSV file for write
f = open(new_path, 'w', newline='')
w = csv.writer(f, quoting = csv.QUOTE_NONE)
for i in range(0, len(data)//20):
row = bytearray()
for j in range(0, 20):
row.append(data[i*20 + j])
# Big-endian to Little-endian conversion
row = unpack('>iiiff', row)
# Calculating & formatting column values
minute = row[0]/1000//60
second = row[0]/1000 - minute*60
timestamp = "%d.%02d.%02d %02d:%02d:%06.3f" % (self.year, self.month, self.day, self.hour, minute, second)
bidPrice = row[2]/1e5
askPrice = row[1]/1e5
bidVolume = "%.2f" % (row[4])
askVolume = "%.2f" % (row[3])
# Writing one row in CSV format
w.writerow([timestamp, bidPrice, askPrice, bidVolume, askVolume])
f.close()
if __name__ == '__main__':
# Parse arguments.
parser = argparse.ArgumentParser(add_help=False)
parser.add_argument("-?", "--help", action="help", help="Show this help message and exit." )
parser.add_argument("-v", "--verbose", action="store_true", dest="verbose", help="Increase output verbosity." )
parser.add_argument("-D", "--download-dir", action="store", dest="dest", help="Directory to download files.", default="download/dukascopy")
parser.add_argument("-c", "--csv-convert", action="store_true", dest="csv", help="Perform CSV conversion.")
parser.add_argument("-p", "--pairs", action="store", dest="pairs", help="Pair(s) to download (separated by comma).", default="all")
parser.add_argument("-h", "--hours", action="store", dest="hours", help="Hour(s) to download (separated by comma).", default="all")
parser.add_argument("-d", "--days", action="store", dest="days", help="Day(s) to download (separated by comma).", default="all")
parser.add_argument("-m", "--months", action="store", dest="months", help="Month(s) to download (separated by comma).", default="all")
parser.add_argument("-y", "--years", action="store", dest="years", help="Year(s) to download (separated by comma).", default="all")
args = parser.parse_args()
curr_year = datetime.date.today().year
pairs = list(all_currencies.keys()) if args.pairs == "all" else args.pairs.split(',')
hours = range(1, 23+1) if args.hours == "all" else intlist(args.hours.split(','))
days = range(1, 31+1) if args.days == "all" else intlist(args.days.split(','))
months = range(1, 12+1) if args.months == "all" else intlist(args.months.split(','))
years = range(1997, curr_year+1) if args.years == "all" else intlist(args.years.split(','))
try:
currencies = []
for pair in sorted(pairs):
for year in sorted(years):
for month in sorted(months):
for day in sorted(days):
for hour in sorted(hours):
try:
dt = datetime.datetime(year=year, month=month, day=day, hour=hour)
unix = time.mktime(dt.timetuple())
if unix > all_currencies.get(pair) and unix < time.time(): # Validate dates.
ds = Dukascopy(pair, year, month, day, hour, dest=args.dest + "/" + pair)
ds.download()
if args.csv:
ds.bt5_to_csv()
#raise KeyboardInterrupt # perform one record for testing
except ValueError: # Ignore invalid dates.
continue
except KeyboardInterrupt:
sys.exit()