altbars - Dukascopy data downloader with alternative bars

Finding good Forex data is difficult or expensive. Dukascopy has made available an excellent web tool to download tick data for a large a variety of Forex, CFD and commodities. This is awesome and extremely useful for people, like me, trying to study the Forex market. However, it takes a lot of time to download a large data set from the website because you can download only one day per time. In order to solve this issue, giuse88 created duka and i forked it to introduce alternative bars and renamed it to altbars to make experimenting with alternative bars as easy as possible.

altbars fork add Dr Marcos Lopez de Prado alternative bars from Advances in Financial Machine Learning book to the original duka repo which is a small terminal application that can be used to download ticks for a given date range from the Dukascopy historical data feed for one or more symbols. duka takes advantage of python threads and coroutine in order to speed up the download. It takes roughly 10m to download tick data for one year for a given instrument.

Key features :

Ticks data with volumes
Candle formatting with different time-frames ( from 1 minute to 1 day )
CSV output
multi-thread support
Large variety of symbols
Alternative bars from Advances in Financial Machine Learning book by Dr Marcos Lopez de Prado:
- Dollar Bars
- Volume Bars
- Tick Bars
- Time Bars as it always been

This is what duka looks like:

![duka](.img/Screen Shot 2016-04-10 at 20.15.51.png)

As you can see, duka estimates the time left until the download is completed. This is extremely useful when downloading a large data set.

I hope you enjoy it!!

Installation

duka requires python 3.5 and request 2.0.1. It can be installed using pip as follows:

pip install duka

Usage

 usage: duka [options]

 positional arguments:
    SYMBOLS               symbol list using format EURUSD EURGBP 

 optional arguments:
     -h           show help message and exit 
     -v           show program's version number and exit
     -d DAY       specific day format YYYY-MM-DD (default today)
     -s STARTDATE start date format YYYY-MM-DD (default today)
     -e ENDDATE   end date format YYYY-MM-DD (default today)
     -c CANDLE    use candles instead of ticks. Accepted values M1 M2 M5 M10 M15 M30 H1 H4 D1
     -f FOLDER    the dowloaded data will be saved in FOLDER (default '.')
     -t THREAD    number of threads (default 10)
     --header     include CSV header (default false)

Examples

Help
```
duka -h
```
Download last available tick set (i.e. yesterday if not Saturday ) for EURUSD and GBPUSD
```
duka EURUSD GBPUSD 
```
Download ticks for the EURUSD for a specific day
```
duka EURUSD -d 2016-02-02
```
Download ticks for the EURUSD between two dates. For example:
```
duka EURUSD -s 2015-01-01 -e 2016-12-31 
```
download all ticks for the 2015 year
We can specify only the start date. The default end date will be today. For example:
```
duka EURUSD -s 2016-01-01
```
downloads all ticks from the beginning of the year until now.

All data is saved in the current folder. You can also specify the number of threads to be used by setting the t option. I recommend not to use too many threads because you might encounter problems opening too many connection to the server.

Helping

Found a bug? Missing a feature? Open a issue and I will try to fix it as soon as possible. Pull request are also welcomed. :)

License

This software is licensed under the MIT License.

Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:

The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.