As some of you know, backtesting in Metatrader is done using interpolated ticks. That is bad and it pretty much means that it's quite unreliable. The good part is that Metatrader supports, let's call them hand-made for want of a better word, history files. What I mean by history files is not the HST things that everyone downloads and uses and that have at best M1 OHLC data, but FXT files which can actually contain tick data. In order to get as much accuracy from the data as possible, I downloaded the Gain Capital tick files, ran them through some filters to remove the duplicates, stored everything in a MySQL database for easier access then wrote a program to export it in FXT format for MT4. The result was tick-by-tick data for whatever timeframe I chose, which, while a lot more accurate than the Metatrader interpolation, is still plagued by what I call 'holes' - missing periods of data, ranging from a few minutes to a few hours.
I'm willing to share the data, but the problem is that it's rather large, for example USDJPY 2005-2006 has over 200 MB unpacked and around 14 MB zipped and that is for a single timeframe. The forum doesn't allow such filesizes, but if anyone has some webspace for it, I can upload a few files for the public.
In addition, if someone can point me to a data source better than what I used, I'd gladly convert it to FXT.
I'm willing to share the data, but the problem is that it's rather large, for example USDJPY 2005-2006 has over 200 MB unpacked and around 14 MB zipped and that is for a single timeframe. The forum doesn't allow such filesizes, but if anyone has some webspace for it, I can upload a few files for the public.
In addition, if someone can point me to a data source better than what I used, I'd gladly convert it to FXT.