R/dukascopy_autofin.R

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

# library(findata)
# library(tiledb)
# library(nanotime)
# library(bit64)
# library(lubridate)
# library(stringr)
#
#
# # init Dukascopy (dc)
# dc = Dukascopy$new()
#
# # get dc symbols
# dc_symbols <- dc$get_symbols()
# dc_symbols[grep("SPY", dc_symbols$symbols), ]
#
# # parameters
# symbols = c("SPYUSUSD")
#
# # get raw data
# dc$download_raw(save_path = "D:/dukascopy",
#                 symbols = symbols,
#                 start_date = as.Date("2017-01-01"),
#                 end_date = Sys.Date() - 1)
#
# # raw data to data.table
# files <- list.files("D:/dukascopy", full.names = TRUE, recursive  = TRUE)
# for (s in symobls) {
#   # debug
#   s = "SPYUSUSD"
#
#   # files for symbol
#   files_symbol = files[grep(s, files)]

#   #
#   quotes_data_clean <- dc$raw_to_dt(files_symbol)
#
#   # save to tiledb
# }
#
#
# # # configure s3
# # config <- tiledb_config()
# # config["vfs.s3.aws_access_key_id"] <- Sys.getenv("AWS-ACCESS-KEY")
# # config["vfs.s3.aws_secret_access_key"] <- Sys.getenv("AWS-SECRET-KEY")
# # config["vfs.s3.region"] <- Sys.getenv("AWS-REGION")
# # context_with_config <- tiledb_ctx(config)
# #
# # # save to S3Tiledb
# # save_uri <- "s3://equity-usa-quotes-dukascopy"
# # if (tiledb_object_type(save_uri) != "ARRAY") {
# #   fromDataFrame(
# #     obj = quotes_data_clean,
# #     uri = save_uri,
# #     col_index = c("symbol", "date"),
# #     sparse = TRUE,
# #     tile_domain=list(date=c(bit64::as.integer64(as.nanotime("1970-01-01 00:00:00", tz = "UTC")),
# #                             bit64::as.integer64(as.nanotime("2099-12-31 23:59:59", tz = "UTC")))),
# #     allows_dups = FALSE
# #   )
# # } else {
# #   # save to tiledb
# #   arr <- tiledb_array(save_uri, as.data.frame = TRUE)
# #   arr[] <- quotes_data_clean
# #   tiledb_array_close(arr)
# # }
# #
# # # create data.table