Python function: getOHLCV()
| Specification | Value |
|---|
| Delivery Frequency | continuous |
| Data Frequency | daily, intraday (min/hour) |
| Reporting Lag | Real-time during FX market hours |
| Coverage | 1,750+ currency pairs (majors, minors, exotics) |
| History | Since 2003-01-02 |
| Availability | Free |
Product Overview
Overview
Forex OHLCV provides standardized Open, High, Low, Close, and Volume bars for foreign exchange currency pairs. Tickers use the C: prefix convention (e.g., C:EURUSD for EUR/USD, C:GBPUSD for GBP/USD). The legacy =X suffix format (e.g., EUR=X) is also accepted.
Unlike equities or crypto, forex OHLCV bars are derived from quoted bid/ask prices rather than executed trades. The global FX market is decentralized and over-the-counter, so there is no single consolidated trade tape. Instead, bars are constructed from the best bid/offer (BBO) quotes streaming from institutional-grade liquidity providers.
Data Pipeline
Quote-Based Aggregation
Forex bars are constructed from real-time best bid/offer (BBO) quote feeds:
- Quote sourcing: BBO quotes are streamed from institutional FX liquidity providers, capturing the best available bid and ask prices at any given moment.
- Mid-price bars: OHLCV bar prices (open, high, low, close) are derived from the mid-point of the bid/ask quotes.
- Volume: Represents the number of quote updates (tick volume) within the bar window, not notional traded volume — since FX is OTC and has no consolidated trade tape.
- No phantom bars: If no new quotes arrive within a time window, no bar is emitted. This transparently indicates periods without market activity.
- Timestamps: All timestamps returned by scalarLib are in New York time.
Real-Time Delivery
- BBO quotes: Real-time bid/ask prices with exchange identification and timestamps.
- Minute aggregates: Minute-by-minute OHLC bars derived from BBO quotes, streamed continuously.
- Historical bars: Custom date ranges and timeframes via REST.
Coverage
- Currency pairs: 1,750+ pairs including all major, minor, and many exotic crosses.
- Majors: EUR/USD, GBP/USD, USD/JPY, USD/CHF, AUD/USD, USD/CAD, NZD/USD.
- Crosses: EUR/GBP, EUR/JPY, GBP/JPY, AUD/JPY, and hundreds more.
- Exotics: USD/TRY, USD/ZAR, USD/MXN, EUR/PLN, and many more.
- Daily history: Extensive historical data.
- Intraday: Minute and hourly bars available.
Supported Modes
| Mode | Trigger | Notes |
|---|
| Daily historical | start/end as 'YYYY-MM-DD' | Timeframe defaults to 'day'. |
| Intraday historical | start/end as 'YYYY-MM-DDTHH:MM:SS' | Timeframe defaults to 'min'; can set 'hour'. New York time. |
Ticker Convention
Forex tickers use the C: prefix with the pair in BASQUOTE format (no separator).
| Ticker | Pair |
|---|
C:EURUSD | Euro / US Dollar |
C:GBPUSD | British Pound / US Dollar |
C:USDJPY | US Dollar / Japanese Yen |
C:USDCHF | US Dollar / Swiss Franc |
C:AUDUSD | Australian Dollar / US Dollar |
C:USDCAD | US Dollar / Canadian Dollar |
Querying the Data
Basic Usage
from scalarlib import getOHLCV
# Daily EUR/USD bars
data = getOHLCV(tickers=['C:EURUSD'], start='2025-01-01', end='2025-12-31')
eurusd_df = data['C:EURUSD']
# Multiple pairs
data = getOHLCV(tickers=['C:EURUSD', 'C:GBPUSD', 'C:USDJPY'], start='2025-06-01', end='2025-06-30')
# Intraday minute bars
data = getOHLCV(tickers=['C:EURUSD'], start='2026-03-24T08:00:00', end='2026-03-24T17:00:00')
# Hourly bars
data = getOHLCV(tickers=['C:GBPUSD'], start='2026-03-20', end='2026-03-24', timeframe='hour')
Parameters
| Parameter | Type | Required | Description |
|---|
tickers | list of str | Yes | Forex tickers with C: prefix (e.g., ['C:EURUSD', 'C:GBPUSD']). |
start | str | Yes | Start date ('YYYY-MM-DD') or datetime ('YYYY-MM-DDTHH:MM:SS'). |
end | str | Yes | End date or datetime (same format as start). |
timeframe | str | No | 'day', 'min', or 'hour'. Default: inferred from date format. |
Column Definitions
OHLCV Schema
| Column | Type | Description |
|---|
ts_recv | datetime64[ns] | Bar timestamp (New York time). |
ticker | string | Forex ticker (e.g., C:EURUSD). |
open | float64 | Opening mid-price of the bar (derived from bid/ask mid). |
high | float64 | Highest mid-price during the bar. |
low | float64 | Lowest mid-price during the bar. |
close | float64 | Closing mid-price of the bar. |
volume | float64 | Tick volume — number of quote updates during the bar (not notional volume). |
