No description, website, or topics provided.
Branch: master
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Type Name Latest commit message Commit time
Failed to load latest commit information.
Source Improved GetTkAsyncMethod() HTML Parsing May 1, 2018
.gitattributes
.gitignore
App.licenseheader
License.txt
README.md Minor change to README.md Aug 14, 2017
TickData.sln Add project files. Aug 14, 2017

README.md

The HistDataFetch utility downloads ASCII tick data from HistData.com then converts the data into both CSV and fixed-length "TICKS" format files. NOTE: All times are adjusted to EST and honor Daylight Savings Time.

Before running HistDataFetch.exe, you need to set a few configuration items in the "HistdataFetch.exe.config" file to appropriate values.

Value Notes
TickDataPath The folder to save tick-data to (i.e. C:\TickData). If the folder doesn't exist it will be created.
FirstYearToFetch The first year to fetch tick-data for. The year must be >= 2010. Also, there is no "LastYearToFetch;" tick-data will be fetched up until the most recently available full month.
AssetsToFetch A comma-separated list of one or more assets to fetch tick-data for (can be any combination of AUDCAD, AUDCHF, AUDHKD, AUDJPY, AUDNZD, AUDSGD, AUDUSD, CADCHF, CADHKD, CADJPY, CADSGD, CHFHKD, CHFJPY, CHFZAR, EURAUD, EURCAD, EURCHF, EURCZK, EURDKK, EURGBP, EURHKD, EURHUF, EURJPY, EURNOK, EURNZD, EURPLN, EURSEK, EURSGD, EURTRY, EURUSD, EURZAR, GBPAUD, GBPCAD, GBPCHF, GBPHKD, GBPJPY, GBPNZD, GBPPLN, GBPSGD, GBPUSD, GBPZAR, HKDJPY, NZDCAD, NZDCHF, NZDHKD, NZDJPY, NZDSGD, NZDUSD, SGDCHF, SGDHKD, SGDJPY, TRYJPY, USDCAD, USDCHF, USDCNH, USDCZK, USDDKK, USDHKD, USDHUF, USDINR, USDJPY, USDMXN, USDNOK, USDPLN, USDSAR, USDSEK, USDSGD, USDTHB, USDTRY, USDZAR, ZARJPY).

Each time the program runs it will save status and error info to a dated log file in the "Logs" sub-folder of the HistDataFetch.exe installation folder.

CSV FORMAT

Each CSV file contains 24 hours of tick (bid/ask) data in "{Symbol},{TickOn},{BidRate},{AskRate}" format, beginning with the 5:00pm EST market open. The files are named "{Source}_{Symbol}_{YYYYMMDD}_17_24_EST.csv" YYYYMMDD is the date associated with the earliest possible tick in the file.

Field DataKind Notes
Symbol string The symbol associated with the bid/ask (i.e. EURUSD).
TickOn long The moment associated with the bid/ask; in YYYYMMDD HH:MM:SS.FFF.
BidRate double A "bid" rate, formatted to match it's related Symbol (i.e. a EURUSD bid would have 5 digits whereas a USDJPY bid would only have 3).
AskRate double An "ask" rate, formatted to match it's related Symbol (i.e. a EURUSD ask would have 5 digits whereas a USDJPY ask would only have 3).

TICKS FORMAT

Each TICKS file contains 24 hours of tick (bid/ask) data in a compressed fixed-field format, beginning with the 5:00pm EST market open. The files are named "{Source}_{Symbol}_{YYYYMMDD}_17_24_EST.ticks". YYYYMMDD is the date associated with the earliest possible tick in the file. The file starts off with a single HEADER block followed by zero or more TICK-DATA blocks. The data is Little-Endian and zipped.

HEADER

Field DataKind Notes
Version float The version number associated with this data layout.
CreatedOn long The moment the file was created; in TimeSpan.Ticks since DateTime.MinValue.
Source char(8) The source/provider of the tick data (i.e. HISTDATA).
Symbol char(8) The symbol associated with the tick data (i.e. EURUSD).
BaseDate long The date associated with the earliest possible tick in the file; in TimeSpan.Ticks since DateTime.MinValue.
Spacer byte[24] A spacer to help with data alignment.
Count int The number of TICK-DATA blocks contained within the file.

TICK-DATA BLOCK

Field DataKind Notes
TickOn long The moment associated with the bid/ask; in YYYYMMDD HH:MM:SS.FFF.
BidRate double A "bid" rate, formatted to match it's related Symbol (i.e. a EURUSD bid would have 5 digits whereas a USDJPY bid would only have 3).
AskRate double An "ask" rate, formatted to match it's related Symbol (i.e. a EURUSD ask would have 5 digits whereas a USDJPY ask would only have 3).