0 - Preparing custom dataset for Zipline.ipynb

{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# How to setup Zipline backtester with custom data from FXCM  "
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 1. Install standard packages\n",
    "ou should be able to install zipline by using pip. If it doesn't work, there are other ways to install zipline that you can look up.  \n",
    "\n",
    "```\n",
    "pip install zipline\n",
    "```\n",
    "I had to upgrade some packages\n",
    "```\n",
    "pip install -U pip\n",
    "pip install -U numpy\n",
    "```"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 2. Download custom forex calendar  \n",
    "Zipline has made its calendars a standalone package available at https://github.com/quantopian/trading_calendars  \n",
    "to make it more available for adding custom calendars, which is what you want because Zipline doesn't support the 24/7 forex calendar as default.  \n",
    "\n",
    "Clone my fork of `trading_calendars` into any preferable location  \n",
    "```\n",
    "git clone https://github.com/grananqvist/trading_calendars.git  \n",
    "```\n",
    "This fork as a new calendar called `forex`  "
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 3.  Download my zipline utilities  \n",
    "Necessary utilities are located in zipline_extensions in this repo, download them by cloning the repo into preferable location  \n",
    "```\n",
    "git glone https://github.com/grananqvist/Machine-Learning-Trading-Strategies.git\n",
    "```"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 4. Add packages to PYTHONPATH\n",
    "For python to find the repos above, add them to your `$PYTHONPATH` \n",
    "```\n",
    "export PYTHONPATH=$PYTHONPATH:<path-to-trading_calendars>:<path-to-trading-repo>\n",
    "```\n",
    "In my case, my `$PYTHONPATH` looks like this  \n",
    "`/Users/system/Github/Machine-Learning-Trading-Strategies/:/Users/system/Github/trading_calendars/`  \n",
    "\n",
    "Test if packages are installed correctly (you will need to restart the jupyter notebook kernel):  "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": [
    "from zipline.utils.calendars import get_calendar\n",
    "get_calendar('forex')\n",
    "from zipline_extensions.bundles.fxcm import via_fxcm_csv_daily"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 5. Download FXCM data  \n",
    "1. Clone my FXCM data downloader\n",
    "```\n",
    "git clone https://github.com/grananqvist/FXCM-Forex-Data-Downloader.git\n",
    "```\n",
    "2. Get an [API key](https://www.fxcm.com/uk/algorithmic-trading/api-trading/) from FXCM, works with a demo account  \n",
    "3. Download data using the download script  \n",
    "```\n",
    "python main.py -pe D1 -t <YOUR FXCM API KEY> -p <ANY LOCATION TO STORE DATA>\n",
    "```"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 6. Edit your extensions.py\n",
    "A file called `extensions.py` should be located in `~/.zipline/`  \n",
    "Insert the code below into `extensions.py` to register fxcm_daily as a bundle for zipline  \n",
    "\n",
    "**Note:** replace `DATA_PATH` with the path to your downloaded dataset  "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": [
    "import os\n",
    "from zipline.data.bundles import register\n",
    "from zipline_extensions.bundles.fxcm import via_fxcm_csv_daily\n",
    "DATA_PATH = os.path.join(\n",
    "    os.environ['HOME'], 'Github/Machine-Learning-Trading-Strategies/data/D1/')\n",
    "\n",
    "register('fxcm_daily', via_fxcm_csv_daily(DATA_PATH), calendar_name='forex')"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 7. Ingest bundle"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Making bundle with symbols:  ('AUDCAD', 'AUDCHF', 'AUDJPY', 'AUDNZD', 'AUDUSD', 'AUS200', 'Bund', 'CADCHF', 'CADJPY', 'CHFJPY', 'CHN50', 'Copper', 'ESP35', 'EURAUD', 'EURCAD', 'EURCHF', 'EURGBP', 'EURJPY', 'EURNOK', 'EURNZD', 'EURSEK', 'EURTRY', 'EURUSD', 'EUSTX50', 'FRA40', 'GBPAUD', 'GBPCAD', 'GBPCHF', 'GBPJPY', 'GBPNZD', 'GBPUSD', 'GER30', 'HKG33', 'JPN225', 'NAS100', 'NGAS', 'NZDCAD', 'NZDCHF', 'NZDJPY', 'NZDUSD', 'SOYF', 'SPX500', 'TRYJPY', 'UK100', 'UKOil', 'US30', 'USDCAD', 'USDCHF', 'USDCNH', 'USDHKD', 'USDJPY', 'USDMXN', 'USDNOK', 'USDOLLAR', 'USDSEK', 'USDTRY', 'USDZAR', 'USOil', 'XAGUSD', 'XAUUSD', 'ZARJPY')\n",
      "symbol= AUDCAD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/AUDCAD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4826\n",
      "candles after: 4433\n",
      "symbol= AUDCHF file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/AUDCHF_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4770\n",
      "candles after: 4376\n",
      "symbol= AUDJPY file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/AUDJPY_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4834\n",
      "candles after: 4433\n",
      "symbol= AUDNZD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/AUDNZD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4783\n",
      "candles after: 4376\n",
      "symbol= AUDUSD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/AUDUSD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4830\n",
      "candles after: 4433\n",
      "symbol= AUS200 file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/AUS200_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4371\n",
      "candles after: 4432\n",
      "symbol= Bund file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/Bund_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 1587\n",
      "candles after: 1577\n",
      "symbol= CADCHF file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/CADCHF_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 2850\n",
      "candles after: 2714\n",
      "symbol= CADJPY file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/CADJPY_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4774\n",
      "candles after: 4376\n",
      "symbol= CHFJPY file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/CHFJPY_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4830\n",
      "candles after: 4433\n",
      "symbol= CHN50 file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/CHN50_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 3141\n",
      "candles after: 3374\n",
      "symbol= Copper file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/Copper_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 1865\n",
      "candles after: 1833\n",
      "symbol= ESP35 file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/ESP35_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4370\n",
      "candles after: 4432\n",
      "symbol= EURAUD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/EURAUD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4847\n",
      "candles after: 4433\n",
      "symbol= EURCAD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/EURCAD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4836\n",
      "candles after: 4433\n",
      "symbol= EURCHF file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/EURCHF_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4833\n",
      "candles after: 4433\n",
      "symbol= EURGBP file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/EURGBP_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4837\n",
      "candles after: 4433\n",
      "symbol= EURJPY file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/EURJPY_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4835\n",
      "candles after: 4433\n",
      "symbol= EURNOK file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/EURNOK_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 3105\n",
      "candles after: 2857\n",
      "symbol= EURNZD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/EURNZD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4771\n",
      "candles after: 4376\n",
      "symbol= EURSEK file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/EURSEK_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 3115\n",
      "candles after: 2857\n",
      "symbol= EURTRY file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/EURTRY_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 2933\n",
      "candles after: 2714\n",
      "symbol= EURUSD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/EURUSD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4845\n",
      "candles after: 4433\n",
      "symbol= EUSTX50 file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/EUSTX50_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 1581\n",
      "candles after: 1573\n",
      "symbol= FRA40 file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/FRA40_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4407\n",
      "candles after: 4432\n",
      "symbol= GBPAUD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/GBPAUD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4770\n",
      "candles after: 4376\n",
      "symbol= GBPCAD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/GBPCAD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4767\n",
      "candles after: 4376\n",
      "symbol= GBPCHF file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/GBPCHF_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4827\n",
      "candles after: 4433\n",
      "symbol= GBPJPY file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/GBPJPY_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4831\n",
      "candles after: 4433\n",
      "symbol= GBPNZD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/GBPNZD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4761\n",
      "candles after: 4376\n",
      "symbol= GBPUSD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/GBPUSD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4825\n",
      "candles after: 4433\n",
      "symbol= GER30 file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/GER30_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4380\n",
      "candles after: 4432\n",
      "symbol= HKG33 file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/HKG33_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4250\n",
      "candles after: 4432\n",
      "symbol= JPN225 file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/JPN225_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4312\n",
      "candles after: 4432\n",
      "symbol= NAS100 file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/NAS100_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4390\n",
      "candles after: 4432\n",
      "symbol= NGAS file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/NGAS_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 1618\n",
      "candles after: 1618\n",
      "symbol= NZDCAD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/NZDCAD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 2859\n",
      "candles after: 2602\n",
      "symbol= NZDCHF file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/NZDCHF_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 2869\n",
      "candles after: 2602\n",
      "symbol= NZDJPY file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/NZDJPY_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4771\n",
      "candles after: 4376\n",
      "symbol= NZDUSD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/NZDUSD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4819\n",
      "candles after: 4433\n",
      "symbol= SOYF file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/SOYF_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 82\n",
      "candles after: 184\n",
      "symbol= SPX500 file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/SPX500_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4390\n",
      "candles after: 4432\n",
      "symbol= TRYJPY file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/TRYJPY_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 2437\n",
      "candles after: 2173\n",
      "symbol= UK100 file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/UK100_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4358\n",
      "candles after: 4433\n",
      "symbol= UKOil file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/UKOil_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4413\n",
      "candles after: 4432\n",
      "symbol= US30 file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/US30_D1.csv\n"
     ]
    },
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "--Preprocessing summary--\n",
      "candles before: 4392\n",
      "candles after: 4432\n",
      "symbol= USDCAD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/USDCAD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4829\n",
      "candles after: 4433\n",
      "symbol= USDCHF file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/USDCHF_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4823\n",
      "candles after: 4433\n",
      "symbol= USDCNH file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/USDCNH_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 1935\n",
      "candles after: 1708\n",
      "symbol= USDHKD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/USDHKD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 3271\n",
      "candles after: 3032\n",
      "symbol= USDJPY file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/USDJPY_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4833\n",
      "candles after: 4433\n",
      "symbol= USDMXN file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/USDMXN_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 2845\n",
      "candles after: 2714\n",
      "symbol= USDNOK file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/USDNOK_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 3051\n",
      "candles after: 3109\n",
      "symbol= USDOLLAR file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/USDOLLAR_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 2049\n",
      "candles after: 2002\n",
      "symbol= USDSEK file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/USDSEK_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 3069\n",
      "candles after: 3021\n",
      "symbol= USDTRY file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/USDTRY_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 2920\n",
      "candles after: 2678\n",
      "symbol= USDZAR file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/USDZAR_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 2994\n",
      "candles after: 3032\n",
      "symbol= USOil file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/USOil_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4384\n",
      "candles after: 4432\n",
      "symbol= XAGUSD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/XAGUSD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4393\n",
      "candles after: 4433\n",
      "symbol= XAUUSD file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/XAUUSD_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 4412\n",
      "candles after: 4433\n",
      "symbol= ZARJPY file= /Users/system/Github/Machine-Learning-Trading-Strategies/data/D1/ZARJPY_D1.csv\n",
      "--Preprocessing summary--\n",
      "candles before: 2868\n",
      "candles after: 2608\n",
      "\u001b[?25lMerging daily equity files:  [####################################]    \u001b[?25h\n",
      "Daily data has been written\n",
      "Metadata:\n",
      "   start_date   end_date auto_close_date    symbol exchange\n",
      "0  2001-09-17 2018-09-05      2018-09-06    AUDCAD     FXCM\n",
      "1  2001-11-28 2018-09-05      2018-09-06    AUDCHF     FXCM\n",
      "2  2001-09-17 2018-09-05      2018-09-06    AUDJPY     FXCM\n",
      "3  2001-11-28 2018-09-05      2018-09-06    AUDNZD     FXCM\n",
      "4  2001-09-17 2018-09-05      2018-09-06    AUDUSD     FXCM\n",
      "5  2001-09-17 2018-09-05      2018-09-06    AUS200     FXCM\n",
      "6  2012-08-21 2018-09-05      2018-09-06      Bund     FXCM\n",
      "7  2008-04-11 2018-09-05      2018-09-06    CADCHF     FXCM\n",
      "8  2001-11-28 2018-09-05      2018-09-06    CADJPY     FXCM\n",
      "9  2001-09-17 2018-09-05      2018-09-06    CHFJPY     FXCM\n",
      "10 2005-09-30 2018-09-05      2018-09-06     CHN50     FXCM\n",
      "11 2011-08-29 2018-09-05      2018-09-06    Copper     FXCM\n",
      "12 2001-09-17 2018-09-05      2018-09-06     ESP35     FXCM\n",
      "13 2001-09-17 2018-09-05      2018-09-06    EURAUD     FXCM\n",
      "14 2001-09-17 2018-09-05      2018-09-06    EURCAD     FXCM\n",
      "15 2001-09-17 2018-09-05      2018-09-06    EURCHF     FXCM\n",
      "16 2001-09-17 2018-09-05      2018-09-06    EURGBP     FXCM\n",
      "17 2001-09-17 2018-09-05      2018-09-06    EURJPY     FXCM\n",
      "18 2007-09-25 2018-09-05      2018-09-06    EURNOK     FXCM\n",
      "19 2001-11-28 2018-09-05      2018-09-06    EURNZD     FXCM\n",
      "20 2007-09-25 2018-09-05      2018-09-06    EURSEK     FXCM\n",
      "21 2008-04-11 2018-09-05      2018-09-06    EURTRY     FXCM\n",
      "22 2001-09-17 2018-09-05      2018-09-06    EURUSD     FXCM\n",
      "23 2012-08-27 2018-09-05      2018-09-06   EUSTX50     FXCM\n",
      "24 2001-09-17 2018-09-05      2018-09-06     FRA40     FXCM\n",
      "25 2001-11-28 2018-09-05      2018-09-06    GBPAUD     FXCM\n",
      "26 2001-11-28 2018-09-05      2018-09-06    GBPCAD     FXCM\n",
      "27 2001-09-17 2018-09-05      2018-09-06    GBPCHF     FXCM\n",
      "28 2001-09-17 2018-09-05      2018-09-06    GBPJPY     FXCM\n",
      "29 2001-11-28 2018-09-05      2018-09-06    GBPNZD     FXCM\n",
      "..        ...        ...             ...       ...      ...\n",
      "31 2001-09-17 2018-09-05      2018-09-06     GER30     FXCM\n",
      "32 2001-09-17 2018-09-05      2018-09-06     HKG33     FXCM\n",
      "33 2001-09-17 2018-09-05      2018-09-06    JPN225     FXCM\n",
      "34 2001-09-17 2018-09-05      2018-09-06    NAS100     FXCM\n",
      "35 2012-06-25 2018-09-05      2018-09-06      NGAS     FXCM\n",
      "36 2008-09-16 2018-09-05      2018-09-06    NZDCAD     FXCM\n",
      "37 2008-09-16 2018-09-05      2018-09-06    NZDCHF     FXCM\n",
      "38 2001-11-28 2018-09-05      2018-09-06    NZDJPY     FXCM\n",
      "39 2001-09-17 2018-09-05      2018-09-06    NZDUSD     FXCM\n",
      "40 2017-12-22 2018-09-05      2018-09-06      SOYF     FXCM\n",
      "41 2001-09-17 2018-09-05      2018-09-06    SPX500     FXCM\n",
      "42 2010-05-10 2018-09-05      2018-09-06    TRYJPY     FXCM\n",
      "43 2001-09-17 2018-09-05      2018-09-06     UK100     FXCM\n",
      "44 2001-09-17 2018-09-05      2018-09-06     UKOil     FXCM\n",
      "45 2001-09-17 2018-09-05      2018-09-06      US30     FXCM\n",
      "46 2001-09-17 2018-09-05      2018-09-06    USDCAD     FXCM\n",
      "47 2001-09-17 2018-09-05      2018-09-06    USDCHF     FXCM\n",
      "48 2012-02-20 2018-09-05      2018-09-06    USDCNH     FXCM\n",
      "49 2007-01-23 2018-09-05      2018-09-06    USDHKD     FXCM\n",
      "50 2001-09-17 2018-09-05      2018-09-06    USDJPY     FXCM\n",
      "51 2008-04-11 2018-09-05      2018-09-06    USDMXN     FXCM\n",
      "52 2006-10-06 2018-09-05      2018-09-06    USDNOK     FXCM\n",
      "53 2011-01-04 2018-09-05      2018-09-06  USDOLLAR     FXCM\n",
      "54 2007-02-07 2018-09-05      2018-09-06    USDSEK     FXCM\n",
      "55 2008-06-02 2018-09-05      2018-09-06    USDTRY     FXCM\n",
      "56 2007-01-23 2018-09-05      2018-09-06    USDZAR     FXCM\n",
      "57 2001-09-17 2018-09-05      2018-09-06     USOil     FXCM\n",
      "58 2001-09-17 2018-09-05      2018-09-06    XAGUSD     FXCM\n",
      "59 2001-09-17 2018-09-05      2018-09-06    XAUUSD     FXCM\n",
      "60 2008-09-08 2018-09-05      2018-09-06    ZARJPY     FXCM\n",
      "\n",
      "[61 rows x 5 columns]\n",
      "Metadata has been written\n"
     ]
    }
   ],
   "source": [
    "#%load_ext zipline\n",
    "!zipline ingest -b fxcm_daily"
   ]
  }
 ],
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