Forex historical tick data?

[gvanto]

I am after about 3 - 6 month's worth of historical (starting from today), forex tick-data for common forex-pairs and will be willing to pay some dollars
for these in the following simple format (in csv)

timestamp ( to the second), tradeprice, volume

Please post/pm me with a price, I have around $30 or so in mind but depending on how much effort it is / how many pairs are provided, can do more/less...

Many thanks,
gvanto

 

[nizar]

I am after about 3 - 6 month's worth of historical (starting from today), forex tick-data for common forex-pairs and will be willing to pay some dollars
for these in the following simple format (in csv)

timestamp ( to the second), tradeprice, volume

Please post/pm me with a price, I have around $30 or so in mind but depending on how much effort it is / how many pairs are provided, can do more/less...

Many thanks,
gvanto

Hi Gvanto,

I spent many weeks looking for tick data for forex pairs and came up with the following...

There is FREE tick data available at OpenTick or Gain Capital, the former is closed to new clients. I will most likely be using the data from Gain Capital. Though I don't like the thought of "free data", for scalping systems, the backtesting data will always have to be viewed from a skeptical point of view, and I will be relying alot more on paper trading as a means of systems validation. Their data is .csv format and goes back to 1998 for every pair you can imagine.

As for paying data, forextickdata.com do offer it but only 5-second (USD$55/month/pair) and 10-second (USD$25/month/pair). They only offer TRUE tick data to Hedge Funds, CTAs, or large private traders who trade >$1billion/month

Another alternative is Tenfore. They offer true tick data for EUR25/pair/month.

Google all the following companies they should come up.

Hope that helps, I wish I had got this sort of response when i first asked the question on these boards.

Good luck with your trading.

Nizar.

 

[caribean]

gvanto, i think Oanda has free tick data if you have an account over $1000.00, i don't know how clean or genuine "tick" it is.

 

[howardbandy]

Greetings all --

Here is a link to some resources, including some historical Forex data.

http://www.quantitativetradingsystems.com/resources.html#dataproviders

Most Forex trading is done with a specific counterparty -- a bank or brokerage. There is no central clearing for Forex data, so there is no "official and correct" Forex data. The data provided by one broker may differ from that provided by another. If you are thinking of trading with a particular firm, you might want to contact them to see if Their Forex data is available to you for backtesting.

Thanks,
Howard

 

[Trembling Hand]

Use the Futures data!!!!!!!!!!!!!!!!!!!!!!!!!!

I will put some together if anyone is interested. But I'm betting that no one will be.

 

[gvanto]

The reason I'd like the forex tick-data is for testing a particular strategy, in order to see if I should bother with signing up to Forex trading software, etc, etc (ie. if it works - well-, i'll get software, datafeed, etc).

nizar:
OpenTick looks awesome - but do they do Forex? Are they not taking signups? (looks like the link's still there)
GainCapital - can't seem to see the historical tick data link? Do you have to register first?

howard:
"Most Forex trading is done with a specific counterparty -- a bank or brokerage. There is no central clearing for Forex data, so there is no "official and correct" Forex data. The data provided by one broker may differ from that provided by another. If you are thinking of trading with a particular firm, you might want to contact them to see if Their Forex data is available to you for backtesting."

- so is it possible to get a list of trades (tick-data) with their respective price & volume from one broker - and they'd be different from another broker

Trembling Hand what is the future you're referring to? Forex future? Can you get CFDs on forex pairs? I have a cfd account with igmarkets
but there's no FX pairs(only 'binaries'?)

Do forex traders not use tick-data much then? If yes, and someone someone's keen to earn say 40 bucks via paypal, I'd love to get my grubby hands on some forex-pairs genuine tick-data (if its possible - this seems weird it wouldn't be?)

many cheers
Gerry

 

[howardbandy]

howard:
"Most Forex trading is done with a specific counterparty -- a bank or brokerage. There is no central clearing for Forex data, so there is no "official and correct" Forex data. The data provided by one broker may differ from that provided by another. If you are thinking of trading with a particular firm, you might want to contact them to see if Their Forex data is available to you for backtesting."

- so is it possible to get a list of trades (tick-data) with their respective price & volume from one broker - and they'd be different from another broker

many cheers
Gerry

Hi Gerry --

That is correct. If you have a trading platform / bank/ broker / counterparty in mind, contact them and ask what historical intraday data they can provide for you to use for your backtesting. Ask what that data represents -- bid prices, asked prices, executed trades, etc. You may or may not get any kind of volume -- dollars, contracts, or even tick volume (trade counts). No matter which of these you are getting, the data from Broker A will definitely be different than from Broker B.

The resources I listed in my earlier post have a source for intraday data for currency _futures_. These are different than Forex. Futures have a central clearing agency. No matter where you get _futures_ data, it should be essentially the same. With futures data, volume is not reported until the next day. _Forex_ data will be different from every data provider. That is why I recommend getting your backtesting data from the broker you plan to trade with -- consistency is important.

And let me take this opportunity to remind everyone to use good modeling and simulation technique when backtesting your strategies. Develop your systems using in-sample data, and reserve some data for out-of-sample testing and validation. In-sample results have no value in predicting the likely future performance of a trading system.

Thanks,
Howard

 

[Trembling Hand]

With futures data, volume is not reported until the next day.

Not true. OI is reported next day but tick data is obviously real time including volume on Futures. (maybe off market transfers next day but that has no use in system testing anyway)

 

[gvanto]

Cool thanks for a very helpful response Howard & TremblingHand

I think the future certainly sounds like the best way to do this.

so I guess the next question is: what's the best CFD / Forex online broker providing futures on Forex?

and:
- is there anyone willing to provide some futures historical data (either tick or 1min or so), at a price of course?

Does anyone know of a CFD/Forex provider can have an API for trading via c/java code ? Are CFD providers accessible via TradeStation's easylanguage?

Many thanks for the help again guys
Gerry

 

[Trembling Hand]

Forget the CFDs. They are rubbish as far as a real trading instrument goes.

Open an account with IB and trade via their API into the real market. You will not find a better setup in Oz.

I will put together some data, for free, later what instruments are you looking at?

 

[gvanto]

Hey TH,

Firstly, thanks a million for your help.

Wow, not a fan of CFDs eh? Mind if I ask why? I've been following the consensus newsletter for a few months now, lately been getting HAMMERED
on their CFD recommendations.

Sweet I've heard about people saying IB is good. I hope their API can be accessed in Java / C code - this will be sweet. Can I ask: do you use it
in this way? Or using something like TradeStation?

I was thinking of testing this trend-following strategy I have been working on (which works pretty well on the SPI200 future), on some Forex pairs - since I hear they trend well. If the strategy does well on some historical data, I will be more than willing to share it with you. Perhaps we can discuss some other strategies too

Would it be possible to get a hold of some forex-pairs futures please TH? As small a timescale as possible would be best, as this is a micro-trend following strategy.

Cheers
Gvanto

 

[Trembling Hand]

I have data for the following Futs,
AUD, EUR, JPY, Pound.

email me if you want copies, email on my blog. As its free there is no guarantee that its perfect for backtesting. Its in 1 min format about 2 months of each(tick data too big). Will be able to send more as time ticks away

Format looks like this = date time;open;high;low;close;volume

time is all in Oz eastern.

 

[Wysiwyg]

Here is a simple free US stocks, indices, T notes and forex historical data export window.

Dukascopy (csv format) ... I couldn`t get all the data in one download (10000 data points max. per export) Have to change the "Data End" date to get further back in time and only back to 2004.
10 second to 1 month time frames.

<> also Howard has free data sites some posts down below.

 

[Stormin_Norman]

Here is a simple free US stocks, indices, T notes and forex historical data export window.

Dukascopy (csv format) ... I couldn`t get all the data in one download (10000 data points max. per export) Have to change the "Data End" date to get further back in time and only back to 2004.
10 second to 1 month time frames.

<> also Howard has free data sites some posts down below.

ohh that's pretty.

bit of a pain to recover it by the looks of it, might have to get it automated to do it.

the data does go back to 2004 does it? on everything, even the stocks?

 

[pilbara]

It's not gonna be cheap but I'm gonna find out how much the EBS Data Mine costs:
http://www.icap.com.au/market-commentary/market-information/historical/foreign-exchange.aspx

This is 10 years of all trades on the EBS Spot system, which accounts for a large fraction of the interbank market. According to wikipedia, "the decision by an FX trader whether to use EBS or Reuters D2 is driven largely by currency pair. In practice, EBS is used mainly for EUR/USD, USD/JPY, EUR/JPY, USD/CHF and EUR/CHF, and Reuters D2 is used for all other interbank currency pairs, mostly commonwealth pairs such as Australian dollar and British pound. It's worth noting that the currency pairs traded on EBS account for the bulk of the spot interbank market."