jepa-fx-risk/data

Data

Raw and processed FX data is gitignored — never committed.

Download: DUKASCopy G10 tick data

Use the provided fetch task:

task data:fetch    # downloads raw tick data → data/raw/
task data:process  # resamples to hourly OHLCV + features → data/processed/
task data:validate # gap detection, outlier report, regime coverage check

Expected structure (local only)

data/
  raw/          G10 pairs, tick OHLCV, 2003–present (gitignored)
  processed/    Hourly log-returns, rolling HV, VIX-merged (gitignored)
  cache/        Intermediate artefacts (gitignored)
  config.yaml   Download configuration (committed)

Pairs

EUR/USD, GBP/USD, USD/JPY, USD/CHF, AUD/USD, USD/CAD, NZD/USD, EUR/GBP, EUR/JPY, EUR/CHF

Splits

Split	Date range	Purpose
Train	2008-01-01 – 2022-12-31	Model training only
Held-out test	2023-01-01 – 2023-12-31	Final evaluation — do not open until evaluation

Training cutoff is hard: 2023-01-01. No post-2022 data informs any design decision.