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anthonyng2/oanda_v20_historical_data.ipynb

Created August 4, 2017 01:19
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oanda_v20_historical_data.ipynb
{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"import pandas as pd\n",
"import oandapyV20\n",
"import oandapyV20.endpoints.instruments as instruments"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"accountID = ''\n",
"access_token = ''"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"client = oandapyV20.API(access_token=access_token)"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"http://developer.oanda.com/rest-live-v20/instrument-df/#CandlestickGranularity"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"params = {\n",
" \"count\": 250,\n",
" \"granularity\": \"D\"}"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"r = instruments.InstrumentsCandles(instrument=\"EUR_USD\",\n",
" params=params)"
]
},
{
"cell_type": "code",
"execution_count": 6,
"metadata": {},
"outputs": [
{
"data": {
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}
],
"source": [
"client.request(r)"
]
},
{
"cell_type": "code",
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"outputs": [
{
"data": {
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},
"execution_count": 7,
"metadata": {},
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],
"source": [
"r.response['candles'][0]['mid']"
]
},
{
"cell_type": "code",
"execution_count": 8,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"'2016-08-09T21:00:00.000000000Z'"
]
},
"execution_count": 8,
"metadata": {},
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],
"source": [
"r.response['candles'][0]['time']"
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{
"cell_type": "code",
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{
"data": {
"text/plain": [
"15585"
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},
"execution_count": 9,
"metadata": {},
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}
],
"source": [
"r.response['candles'][0]['volume']"
]
},
{
"cell_type": "code",
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"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"dat = []\n",
"for oo in r.response['candles']:\n",
" dat.append([oo['time'], oo['volume'], oo['mid']['o'], oo['mid']['h'], oo['mid']['l'], oo['mid']['c']])"
]
},
{
"cell_type": "code",
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"metadata": {
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},
"outputs": [
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" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2016-08-09T21:00:00.000000000Z</th>\n",
" <td>15585</td>\n",
" <td>1.11769</td>\n",
" <td>1.11900</td>\n",
" <td>1.11128</td>\n",
" <td>1.11769</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-08-10T21:00:00.000000000Z</th>\n",
" <td>14723</td>\n",
" <td>1.11769</td>\n",
" <td>1.11916</td>\n",
" <td>1.11355</td>\n",
" <td>1.11370</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-08-11T21:00:00.000000000Z</th>\n",
" <td>16738</td>\n",
" <td>1.11370</td>\n",
" <td>1.12214</td>\n",
" <td>1.11314</td>\n",
" <td>1.11621</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-08-14T21:00:00.000000000Z</th>\n",
" <td>10823</td>\n",
" <td>1.11621</td>\n",
" <td>1.12037</td>\n",
" <td>1.11535</td>\n",
" <td>1.11831</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-08-15T21:00:00.000000000Z</th>\n",
" <td>24195</td>\n",
" <td>1.11831</td>\n",
" <td>1.13223</td>\n",
" <td>1.11776</td>\n",
" <td>1.12782</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" Volume Open High Low Close\n",
"Time \n",
"2016-08-09T21:00:00.000000000Z 15585 1.11769 1.11900 1.11128 1.11769\n",
"2016-08-10T21:00:00.000000000Z 14723 1.11769 1.11916 1.11355 1.11370\n",
"2016-08-11T21:00:00.000000000Z 16738 1.11370 1.12214 1.11314 1.11621\n",
"2016-08-14T21:00:00.000000000Z 10823 1.11621 1.12037 1.11535 1.11831\n",
"2016-08-15T21:00:00.000000000Z 24195 1.11831 1.13223 1.11776 1.12782"
]
},
"execution_count": 11,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df = pd.DataFrame(dat)\n",
"df.columns = ['Time', 'Volume', 'Open', 'High', 'Low', 'Close']\n",
"df = df.set_index('Time')\n",
"df.head()"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"***"
]
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.6.1"
}
},
"nbformat": 4,
"nbformat_minor": 2
}
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