A C++ interface with MySQL for building your own database of historical market quotes
QuotesDB
A C++ interface with MySQL for building your own database of historical market quotes.Description
QuotesDB allows the user to download historical data from Oanda using their REST API and record them into a MySQL database. I chose this broker only for the purpose of this project as their API is well documented and it is very quick and straightforward to create a demo account allowing you to use this API. This project is just an example of how it can be done, there is room for improvements and it is still under active development.Why such a project
When building your own trading system it is essential to have an easy access to a quality database of historical data for initializing your strategies when live trading but also for back-testing your new ideas. Such a database must be easy to refresh for keeping it up to date. I designed QuotesDB in that way, it allows first to initialize the database by creating tables for each desired pair (instrument,granularity), it will download and clean the data by removing duplicate Bars and Bars outside trading hours (week-ends, christmas, new-year). Indeed for small granularities it can unfortunately happen, not getting rid of these Bars could affect the back-testing results. Once the database is initialized, QuotesDB can easily be updated, it will read the last recorded Bar date, download the new data (cleaning them and selecting complete Bars only) and append them to the database.How to use it
To use QuotesDB you will need:- POCO C++ library
- MySQL Server
- MySQL Connector/C++
- A demo account on Oanda
You need to create a database in MySQL for recording the downloaded historical data from Oanda. I called mine QuotesDB.
You will then configurate the header file QuotedDB.hpp with your own parameters for the connection to MySQL database, to Oanda server and the desired instruments and granularities.
Example
++
#include "QuotesDB.hpp"
int main() { // creating a connection to Oanda server qdb::OandaAPI conn("practice");
// downloading data from the 1st of Janurary 2007 and recording them in QuotesDB database conn.initAllTabs("QuotesDB","2007-01-01 00:00:00"); // it will then download data for every pair (INSTRUMENT,GRANULARITY) defined in QuotesDB.hpp // you can update later all the tables in the database by simply doing: //conn.updateAllTabs("QuotesDB");
// connecting to QuotesDB database for reading data qdb::DataBase db("QuotesDB");
// reading the last 10 recorded Bars from table EURUSDD std::vector<qdb::Bar> data = db.readtable("EURUSD_D",10);
// outputting the data for (int i = 0; i < data.size(); ++i) { data[i].print(); } }
Compilation
You will need to link to Poco and MySQL libraries to compile QuotesDB.
g++ -std=c++11 -O3 -Wall example.cpp -o run -lPocoNet -lPocoNetSSL -lPocoFoundation -lPocoJSON -lmysqlcppconnOuput
2017-02-06 22:00:00 1.07444 1.07544 1.07486 1.07556 1.06555 1.06568 1.06822 1.06837 24736
2017-02-05 22:00:00 1.07866 1.07929 1.07881 1.07954 1.07047 1.07065 1.07491 1.07516 26266
2017-02-02 22:00:00 1.07564 1.07628 1.0797 1.07983 1.07088 1.07152 1.078 1.079 36782
2017-02-01 22:00:00 1.0768 1.07705 1.08282 1.08297 1.07554 1.07569 1.07574 1.07593 32335
2017-01-31 22:00:00 1.07959 1.08001 1.08068 1.08081 1.07263 1.07356 1.07675 1.07703 35995
2017-01-30 22:00:00 1.06931 1.06998 1.08116 1.08132 1.06839 1.06853 1.07966 1.07984 42940
2017-01-29 22:00:00 1.07182 1.07282 1.07396 1.07412 1.06198 1.06211 1.06942 1.06971 28475
2017-01-26 22:00:00 1.06774 1.0682 1.07243 1.07259 1.06576 1.06591 1.06931 1.07031 29190
2017-01-25 22:00:00 1.07464 1.0753 1.07649 1.07663 1.06572 1.06586 1.06807 1.06841 30854
2017-01-24 22:00:00 1.07274 1.07338 1.07691 1.07705 1.07105 1.0712 1.07465 1.07501 28624
