Dukascopy Forex tick data downloader

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  1. e6e2358 add packager glide by huan · 4 years, 11 months ago master
  2. 00ca868 add README by huan · 5 years ago
  3. a11a754 fxt tick type change by huan · 5 years ago
  4. c5fb629 adjust timeframe by huan · 5 years ago
  5. 5b225ae trivial things by huan · 5 years ago

1 Tick Data Downloader

  • Download tick data from Dukascopy
  • Convert source tick data to CSV/HST/FXT

2 CSV Format

2.1 Example

time,ask,bid,ask_volume,bid_volume
2017-01-01 22:00:20.786,1.05236,1.05148,0.75,0.75
2017-01-01 22:00:36.636,1.05236,1.05153,0.75,1.50
2017-01-01 22:01:37.024,1.05236,1.05153,0.75,1.50

3 HST Format

3.1 Header

  • Total Bytes : 148
  • Version : 401
  • Period : timeframe
// Header structure for hst version 401 (148 bytes)
type Header struct {
	Version   uint32     //   0    4   HST version (default 401)
	Copyright [64]byte   //   4   64   Copyright info
	Symbol    [12]byte   //  68   12   Forex symbol
	Period    uint32     //  80    4   Symbol timeframe
	Digits    uint32     //  84    4   The amount of digits after decimal point in the symbol
	TimeSign  uint32     //  88    4   Time of sign (database creation)
	LastSync  uint32     //  92    4   Time of last synchronization
	_         [13]uint32 //  96   52   unused
}

3.2 Bar Data

  • Total Bytes : 60
  • CTM : Current time in seconds, align with timeframe,
// BarData wrap the bar data inside hst (60 Bytes)
type BarData struct {
	CTM        uint64  //   0   8   current time in seconds, MQL4 datetime
	Open       float64 //   8   8   OHLCV
	High       float64 //  24   8   H
	Low        float64 //  16   8   L
	Close      float64 //  32   8   C
	Volume     uint64  //  40   8   V
	Spread     uint32  //  48   4
	RealVolume uint64  //  52   8
}

4 FXT Format

4.1 Tick Data

  • Total Bytes : 56
  • BarTimestamp : Bar datetime, align with timeframe, unit seconds
// FxtTick data
type FxtTick struct {
	BarTimestamp  uint64  //   0  8   Bar datetime, align with timeframe, unit seconds
	Open          float64 //   8  8
	High          float64 //  16  8
	Low           float64 //  24  8
	Close         float64 //  32  8
	Volume        uint64  //  40  8   Volume (documentation says it's a double, though it's stored as a long int)
	TickTimestamp uint32  //  48  4   tick data timestamp in seconds
	LaunchExpert  uint32  //  52  4   Flag to launch an expert (0 - bar will be modified, but the expert will not be launched).
}

4.2 Header

  • Total Bytes : 728
  • Version : 405 default
  • Symbol : forex currency pair
  • Spread : fix spread
  • Period : timeframe, M1|M5|M15|M30|...
  • ModelType: model, 0=EveryTick|1=ControlPoints|2=BarOpen
  • ModelQuality : 99.9
// FXTHeader History Files in FXT Format
// https://www.metatrader4.com/en/trading-platform/help/autotrading/tester/tester_fxt
//
// Documentation on the format can be found in terminal Help (Client terminal - Auto Trading - Strategy Testing - History Files FXT).
// However the obtained data shows that the data does not match the declared format.
// In the eye catches the fact that the work is carried out over time in both formats: the new and the old MQL4.
// So, members of fromdate and todate structure TestHistoryHeader , and ctm structure TestHistory use the old (4 hbaytny) date / time format, but a member of otm structure TestHistory written in the new (8-byte) date / time format.
// It is unclear whether the correct type of selected members unknown.
// The FXT as teak prices recorded only Bid, but its spread is written in the Volume field.
// By breaking MT4 is obtained to ensure that the MT4-tester figured on each tick Ask, how the Bid + the Volume (that's the trick).
// Source: https://forum.mql4.com/ru/64199/page3
type FXTHeader struct {
	//Header layout--------------------- offset --- size --- description ------------------------------------------------------------------------
	Version      uint32    //  				  0        4     header version:
	Description  [64]byte  //  				  4       64     copyright/description (szchar)
	ServerName   [128]byte //  				 68      128     account server name (szchar)
	Symbol       [12]byte  //  				196       12     symbol (szchar)
	Period       uint32    //  				208        4     timeframe in minutes
	ModelType    uint32    //  				212        4     0=EveryTick|1=ControlPoints|2=BarOpen
	ModeledBars  uint32    //  				216        4     number of modeled bars      (w/o prolog)
	FirstBarTime uint32    //  				220        4     bar open time of first tick (w/o prolog)
	LastBarTime  uint32    //  				224        4     bar open time of last tick  (w/o prolog)
	_            [4]byte   //  				228        4     (alignment to the next double)
	ModelQuality float64   //  				232        8     max. 99.9

	// common parameters-----------------------------------------------------------------------------------------------------------------------
	BaseCurrency [12]byte // 				240       12     base currency (szchar)                     = StringLeft(symbol, 3)
	Spread       uint32   // 				252        4     spread in points: 0=zero spread            = MarketInfo(MODE_SPREAD)
	Digits       uint32   // 				256        4     digits                                     = MarketInfo(MODE_DIGITS)
	_            [4]byte  // 				260        4     (alignment to the next double)
	PointSize    float64  // 				264        8     resolution, ie. 0.0000'1                   = MarketInfo(MODE_POINT)
	MinLotsize   uint32   // 				272        4     min lot size in centi lots (hundredths)    = MarketInfo(MODE_MINLOT)  * 100
	MaxLotsize   uint32   // 				276        4     max lot size in centi lots (hundredths)    = MarketInfo(MODE_MAXLOT)  * 100
	LotStepsize  uint32   // 				280        4     lot stepsize in centi lots (hundredths)    = MarketInfo(MODE_LOTSTEP) * 100
	StopsLevel   uint32   // 				284        4     orders stop distance in points             = MarketInfo(MODE_STOPLEVEL)
	PendingsGTC  uint32   // 				288        4     close pending orders at end of day or GTC
	_            [4]byte  // 				292        4     (alignment to the next double)

	// profit calculation parameters-------------------------------------------------------------------------------------------------------------
	ContractSize          float64 //  		296        8     ie. 100000                                 = MarketInfo(MODE_LOTSIZE)
	TickValue             float64 //  		304        8     tick value in quote currency (empty)       = MarketInfo(MODE_TICKVALUE)
	TickSize              float64 //  		312        8     tick size (empty)                          = MarketInfo(MODE_TICKSIZE)
	ProfitCalculationMode uint32  //  		320        4     0=Forex|1=CFD|2=Futures                    = MarketInfo(MODE_PROFITCALCMODE)

	// swap calculation parameters -------------------------------------------------------------------------------------------------------------
	SwapEnabled         uint32  //  		324        4     if swaps are to be applied
	SwapCalculationMode int32   //  		328        4     0=Points|1=BaseCurrency|2=Interest|3=MarginCurrency   = MarketInfo(MODE_SWAPTYPE)
	_                   [4]byte //  		332        4     (alignment to the next double)
	SwapLongValue       float64 //  		336        8     long overnight swap value                  = MarketInfo(MODE_SWAPLONG)
	SwapShortValue      float64 //  		344        8     short overnight swap values                = MarketInfo(MODE_SWAPSHORT)
	TripleRolloverDay   uint32  //  		352        4     weekday of triple swaps                    = WEDNESDAY (3)

	// margin calculation parameters -------------------------------------------------------------------------------------------------------------
	AccountLeverage           uint32   // 	356        4     account leverage                           = AccountLeverage()
	FreeMarginCalculationType uint32   // 	360        4     free margin calculation type               = AccountFreeMarginMode()
	MarginCalculationMode     uint32   // 	364        4     margin calculation mode                    = MarketInfo(MODE_MARGINCALCMODE)
	MarginStopoutLevel        uint32   // 	368        4     margin stopout level                       = AccountStopoutLevel()
	MarginStopoutType         uint32   // 	372        4     margin stopout type                        = AccountStopoutMode()
	MarginInit                float64  // 	376        8     initial margin requirement (in units)      = MarketInfo(MODE_MARGININIT)
	MarginMaintenance         float64  // 	384        8     maintainance margin requirement (in units) = MarketInfo(MODE_MARGINMAINTENANCE)
	MarginHedged              float64  // 	392        8     hedged margin requirement (in units)       = MarketInfo(MODE_MARGINHEDGED)
	MarginDivider             float64  // 	400        8     leverage calculation                         @see example in struct SYMBOL
	MarginCurrency            [12]byte // 	408       12                                                = AccountCurrency()
	_                         [4]byte  // 	420        4     (alignment to the next double)

	// commission calculation parameters ----------------------------------------------------------------------------------------------------------
	CommissionValue           float64 // 	424        8     commission rate
	CommissionCalculationMode int32   // 	432        4     0=Money|1=Pips|2=Percent                     @see COMMISSION_MODE_*
	CommissionType            int32   // 	436        4     0=RoundTurn|1=PerDeal                        @see COMMISSION_TYPE_*

	// later additions-----------------------------------------------------------------------------------------------------------------------------
	FirstBar          uint32    //  		440        4     bar number/index??? of first bar (w/o prolog) or 0 for first bar
	LastBar           uint32    //  		444        4     bar number/index??? of last bar (w/o prolog) or 0 for last bar
	StartPeriodM1     uint32    //  		448        4     bar index where modeling started using M1 bars
	StartPeriodM5     uint32    //  		452        4     bar index where modeling started using M5 bars
	StartPeriodM15    uint32    //  		456        4     bar index where modeling started using M15 bars
	StartPeriodM30    uint32    //  		460        4     bar index where modeling started using M30 bars
	StartPeriodH1     uint32    //  		464        4     bar index where modeling started using H1 bars
	StartPeriodH4     uint32    //  		468        4     bar index where modeling started using H4 bars
	TesterSettingFrom uint32    //  		472        4     begin date from tester settings
	TesterSettingTo   uint32    //  		476        4     end date from tester settings
	FreezeDistance    uint32    //  		480        4     order freeze level in points               = MarketInfo(MODE_FREEZELEVEL)
	ModelErrors       uint32    //  		484        4     number of errors during model generation (FIX ERRORS SHOWING UP HERE BEFORE TESTING
	_                 [240]byte //  		488      240     unused
}