This is a C++ library for extracting tick data from the raw and compressed binary data files the you can download from Dukascopy.
lib-dukascopy is released under the GNU General Public License (GPL) v3. A copy of the license is available in license.txt
The data files that this library processes are provided by Dukascopy. I make no guarantee about the quality of the data they provide, and the reliability of this library to extract the data from these files.
The files I downloaded are named something like '00h_ticks.bi5'. These 'bi5' files are LZMA compressed binary data files. The binary data file are formatted into 20-byte rows.
- 32-bit integer: milliseconds since epoch
- 32-bit float: Ask price
- 32-bit float: Bid price
- 32-bit float: Ask volume
- 32-bit float: Bid volume
The ask and bid prices need to be multiplied by the point value for the symbol/currency pair.
The epoch is extracted from the URL (and the folder structure I've used to store the files on disk). It represents the point in time that the file starts from e.g. 2013/01/14/00h_ticks.bi5 has the epoch of midnight on 14 January 2013.
Coming soon.