Hello fellow group members.

I've been using dukascopy's historical data and wrote an R script to load it in. Putting it here for people's use:

Code:

require("quantmod")

loadData <- function(file) {
  data <- read.csv(file, sep = ",")
  data$Time <- as.POSIXct(strptime(data$Time, format="%d.%m.%Y %H:%M:%OS"))
  data <- as.xts(data[,2:6], order.by=data$Time)
  data[data$Volume != 0,]
}

# Doesn't work on my PC for some reason, think it has to do with Timezone
loadData2 <- function(file) {
  read.zoo(file, header = TRUE, sep = ",", tz = "GMT",
           format = "%d.%m.%Y %H:%M:%OS")
}
 

Happy modelling!