Dukascopy: Dukascopy Class

In MislavSag/findata: Collect data fro trading and financial ML

Dukascopy Class

Description

Get data data from Dukascopy.

Super class

findata::DataAbstract -> Dukascopy

Methods

Public methods

• Dukascopy$new()

• Dukascopy$get_symbols()

• Dukascopy$download_raw()

• Dukascopy$raw_to_dt()

• Dukascopy$dukascopy_node_get()

• Dukascopy$clone()

---

Method new()

Create a new Dukascopy object.

Usage

Dukascopy$new(azure_storage_endpoint = NULL, context_with_config = NULL)

Arguments

azure_storage_endpoint

Azure storate endpont

context_with_config

AWS S3 Tiledb config

Returns

A new 'Dukascopy' object.

---

Method get_symbols()

Get all symbols from Dukascopy

Usage

Dukascopy$get_symbols(tag = "us")

Arguments

tag

url tag option. See here: https://www.dukascopy-node.app/instruments

Returns

Vector of symbols.

---

Method download_raw()

IB GET object

Usage

Dukascopy$download_raw(
  save_path = "F:/equity/usa/tick/quotes",
  symbols = "spyususd",
  start_date = as.Date("2017-01-01"),
  end_date = Sys.Date() - 1
)

Arguments

save_path

Saving directory.

symbols

Sybmols to scrap.

start_date

Start date.

end_date

End date.

Returns

GET response.

---

Method raw_to_dt()

Parse Dukascopy data and convert to data.table format

Usage

Dukascopy$raw_to_dt(files)

Arguments

files

Bin files (lzma files) downlaoded from Dukascopy and saved localy.

Returns

Data.table with ask and bid prices and volumes.

---

Method dukascopy_node_get()

Get Dukascopy data using https://github.com/Leo4815162342/dukascopy-node

Usage

Dukascopy$dukascopy_node_get(
  dir_location,
  instrument,
  from,
  to = "now",
  timeframe = "tick",
  volumes = "true",
  format = "csv",
  batch_size = 5,
  batch_pause = 2500,
  cache = "true"
)

Arguments

dir_location

Location where files are saved.

instrument

Instrument.

from

Date from.

to

Date to.

timeframe

Timeframe aggregation (tick, s1, m1, m5, m15, m30, h1, h4, d1, mn1).

volumes

Include volumes.

format

Output format (csv, json, array).

batch_size

Batch size.

batch_pause

Batch pause.

cache

Use cache.

Returns

NULL or error.

---

Method clone()

The objects of this class are cloneable with this method.

Usage

Dukascopy$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

References

https://www.interactivebrokers.com/api/doc.html

MislavSag/findata documentation built on June 2, 2025, 12:34 p.m.