Getting data is always the hardest part of data science, here is a handy script that uses the OANDA Rest api and tpqoa to pull Forex bid/ask data from any date range, avoiding the 5000 candle limit set by the API.
The class object allows for an individual instrument or all instruements to be downloaded into a labelled dataframe. SQL functions are provided to convert the dataframe into an SQL db stored in the local directory.
Happy analysis, and may you be forever profitable.
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