Added Dukascopy example

README.md

@@ -125,6 +125,8 @@ individual data providers)
 
 # Coding log
 
+* 10 Jan 2021
+  * Added Dukascopy non-equities example
 * 08 Jan 2021
   * Added extra calendar example
 * 05 Jan 2021

findatapy/timeseries/calendar.py

@@ -107,6 +107,9 @@ def _get_full_cal(self, cal):
                 bday = CustomBusinessDay(weekmask='Sat Sun')
 
                 holidays_list.append([x for x in pd.date_range('01 Jan 1999', '31 Dec 2025', freq=bday)])
+            elif cal == 'NOH': #
+                pass
+                # holidays_list.append()
 
             else:
                 label = cal + ".holiday-dates"

findatapy_examples/dukascopy_example.py

@@ -0,0 +1,59 @@
+__author__ = 'saeedamen'  # Saeed Amen
+
+#
+# Copyright 2016-2020 Cuemacro
+#
+# Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the
+# License. You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an
+# "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#
+# See the License for the specific language governing permissions and limitations under the License.
+#
+
+
+if __name__ == '__main__':
+    ###### below line CRUCIAL when running Windows, otherwise multiprocessing doesn't work! (not necessary on Linux)
+    from findatapy.util import SwimPool; SwimPool()
+
+    # choose run_example = 0 for everything
+    # run_example = 1 - download EURUSD free tick data from DukasCopy example
+    # run_example = 2 - download S&P500 free tick data from DukasCopy example
+
+    run_example = 2
+
+    if run_example == 1 or run_example == 0:
+
+        ####### DukasCopy examples
+        # let's download data for 14 Jun 2016 for EUR/USD - the raw data has bid/ask, if we specify close, we calculate
+        # it as the average
+
+        from findatapy.market import Market, MarketDataRequest, MarketDataGenerator
+
+        market = Market(market_data_generator=MarketDataGenerator())
+
+        # first we can do it by defining all the vendor fields, tickers etc. so we bypass the configuration file
+        md_request = MarketDataRequest(start_date='14 Jun 2016', finish_date='15 Jun 2016',
+                                       fields=['bid'], vendor_fields=['bid'],
+                                       freq='tick', data_source='dukascopy',
+                                       tickers=['EURUSD'], vendor_tickers=['EURUSD'])
+
+        df = market.fetch_market(md_request)
+        print(df.tail(n=10))
+
+    if run_example == 2 or run_example == 0:
+        ####### Dukascopy S&P500 example
+        from findatapy.market import Market, MarketDataRequest, MarketDataGenerator
+
+        market = Market(market_data_generator=MarketDataGenerator())
+
+        md_request = MarketDataRequest(start_date='14 Jun 2016', finish_date='15 Jun 2016',
+                                       fields=['bid', 'ask'], vendor_fields=['bid', 'ask'],
+                                       freq='tick', data_source='dukascopy',
+                                       tickers=['S&P500'], vendor_tickers=['USA500IDXUSD'])
+
+        # Careful need to divide by 1000.0
+        df = market.fetch_market(md_request) / 1000.0
+
+        print(df)