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Good Historical (Tick) Data Source

  • #1
  • First Post: Jan 31, 2008 9:13am Jan 31, 2008 9:13am
FFers,

I am looking to develop a set of automatic trading systems, but I want to verify that they will actually work with the pricing anomalies of my current broker, MB Trading. Does anybody have (or know where I can obtain) a tick-by-tick history going back at least a few months?

While the MBT historical data is probably a long shot, I'm also interested to find a good (and preferably free or low-cost) historical data source for use in strategy development. It would be preferable to have at least 5 years of data, and 10 or more is best. In terms of time-frames, 1min would be ideal, though 5 or 10min could be adequate.

Any ideas would be greatly appreciated. I am certainly willing to share any successes I might have with the systems I develop with the community in return for your help with acquiring the data.

Alec

P.S. For the curious, I have a background in biomedical engineering with a focus on computer software and systems. I have some experience with machine learning (neural networks, bayesian learning, decision trees, etc) and a strong programming background. I took a break from forex the past few months, but would like to re-approach it from an objective perspective and attempt to find some order (or at least some profit ) amongst the chaos. Like many traders here, I've had my share of ups and downs in the market, and while I trade some news and/or bank flow information, I'd like to refine a more hands-off, brains-on approach. If you have any ideas you'd like to share or discuss, don't hesitate to shoot me a PM.
  • #2
  • Jan 31, 2008 10:13am Jan 31, 2008 10:13am
By the way, I've taken a look at the Alpari data and such. I wrote an MT4 history file reader in C, and after analyzing the supposedly good data, found a large number of significant holes. I'm really looking for totally continuous data if possible, preferably from an institutional-level broker.

Thanks.
  • #3
  • Jan 31, 2008 8:09pm Jan 31, 2008 8:09pm
No? Anybody?
  • #4
  • Jan 31, 2008 9:23pm Jan 31, 2008 9:23pm
There are loads of data sources, just do a Google search, but none that are any good are free. On another tack, why MB? the commissions are rubbish and navigator crashes constantly. IB's commissions are half MB's and you can download data for the previous year for free, seems like a no brainer to me.
The breaking of a wave cannot explain the whole sea.
  • #5
  • Feb 1, 2008 1:20am Feb 1, 2008 1:20am
Back when I opened my MBT account (about a year ago), IB had significantly larger spreads (IIRC). Now... well, I don't know. Red tape I guess... perhaps it's time for further investigation. Do you trade with IB? If so, how has your experience been?
  • #6
  • Feb 1, 2008 1:23am Feb 1, 2008 1:23am
If you have an Oanda account you could use tick data from there. It has a very good quality and is usually very large...

Regards - Xaron
  • #7
  • Feb 1, 2008 1:38am Feb 1, 2008 1:38am
http://freeserv.dukascopy.com/exp/
  • #8
  • Feb 2, 2008 10:41am Feb 2, 2008 10:41am
I do like the Dukascopy data... but if I want something like 5 years of 10sec data, I'll need to request approx 1577 separate data sets. If I could do these requests every 30 seconds, it would take me 13 straight hours to get all the data.

For hourly or daily data though, Dukascopy is great. I've downloaded a few years of hourly data from them and merged it together into one large CSV file. If I'm able to get a large archive of 1M data from them, perhaps I can convert it to an hst file so others can use it with MT4.

I also came across Gain Capital's historical quote data. It's actually quite good. I may be able to use it for my research, even though it doesn't necessarily correspond to the MBT data. You can find it here: http://ratedata.gaincapital.com/
  • #9
  • Feb 2, 2008 11:11am Feb 2, 2008 11:11am
The only free source that i know of would be oanda, there are probably more though1
  • #10
  • Feb 3, 2008 6:07am Feb 3, 2008 6:07am
Try these two links:

http://www.forexdata.biz/index.php?action=over

http://ratedata.gaincapital.com/

TimeFreedom
  • #11
  • Feb 4, 2008 3:00am Feb 4, 2008 3:00am
Quoting drummer486
I do like the Dukascopy data... but if I want something like 5 years of 10sec data, I'll need to request approx 1577 separate data sets. If I could do these requests every 30 seconds, it would take me 13 straight hours to get all the data.

For hourly or daily data though, Dukascopy is great. I've downloaded a few years of hourly data from them and merged it together into one large CSV file. If I'm able to get a large archive of 1M data from them, perhaps I can convert it to an hst file so others can use it with MT4.

I also came across Gain Capital's historical quote data. It's actually quite good. I may be able to use it for my research, even though it doesn't necessarily correspond to the MBT data. You can find it here: http://ratedata.gaincapital.com/
Thanks for the Gain Capital link. That's a new one to me.

Problem with dukas is that they will bar your IP after a while. That makes the whole process even longer. I wrote some software to fetch the data in sequence which took some of the pain away, but it takes ages as you have to reconnect to get a new IP every now and then. Can't really complain as it's free.

Be careful with MT4. I find useless for backtesting as it skips chunks of historical data. Before you invest too much time on your own EAs, try testing it with their own EAs and you will see what I mean. A real pity that such a promising tool is broken.
  • #12
  • Jul 25, 2008 5:39pm Jul 25, 2008 5:39pm
Quoting coda
Thanks for the Gain Capital link. That's a new one to me.

Problem with dukas is that they will bar your IP after a while. That makes the whole process even longer. I wrote some software to fetch the data in sequence which took some of the pain away, but it takes ages as you have to reconnect to get a new IP every now and then. Can't really complain as it's free.

Be careful with MT4. I find useless for backtesting as it skips chunks of historical data. Before you invest too much time on your own EAs, try testing it with their own EAs and you will see what I mean. A real pity that such a promising tool is broken.

Coda, can you please elaborate on how MT4 fails in this regard? (Skips chunks of data with their own EAs)
  • #13
  • Jul 26, 2008 3:14am Jul 26, 2008 3:14am
get TRADESTATION (aka TS).
  • #14
  • Jul 26, 2008 7:19pm Jul 26, 2008 7:19pm
drummer you talk about getting M1 data.... which techincally isn't "tick"

tick gives you all price movements inside each one minute candle.

there are places that charge $80/month/pair for tick, so you've got a valuable site in GAIN. unfortunately, we don't know if this is a retail broker feed's quotes.

because there is no central forex market, (in my mind) it is impossible to get accurate tic data, so slight variations will be found wherever the data comes from.
  • #15
  • Aug 1, 2008 5:11am Aug 1, 2008 5:11am
try this one...

http://www.fin-rus.com/analysis/export/default.asp

  • #16
  • Feb 20, 2009 5:58am Feb 20, 2009 5:58am
Hey Boss just wondering if you have any luck with your trader and in finding solid historical tick data?

Ravi


Quoting drummer486
FFers,

I am looking to develop a set of automatic trading systems, but I want to verify that they will actually work with the pricing anomalies of my current broker, MB Trading. Does anybody have (or know where I can obtain) a tick-by-tick history going back at least a few months?

While the MBT historical data is probably a long shot, I'm also interested to find a good (and preferably free or low-cost) historical data source for use in strategy development. It would be preferable to have at least 5 years of data, and 10 or more is best. In terms...
  • #17
  • Feb 21, 2009 11:56am Feb 21, 2009 11:56am
Yes, found some decent data. Oanda is actually quite good about providing tick data. Of course, it's their own proprietary market-making feed, so it doesn't necessarily correlate on small timeframes to other brokers' feeds. I also found a valuable resource in the CME Group's futures tick data. They are beginning to focus more on FX traders... they even have a plan to introduce e-micro FX futures (the equivalent of mini-lot spot FX) by the end of Q1 this year. The data is better, the market is open and regulated, and the trading is generally more efficient in terms of commissions, so I will be taking a deeper look at this.
  • #18
  • Feb 22, 2009 4:22am Feb 22, 2009 4:22am
Im working on something similar to what you are doing as well and it seems to be going pretty well, do you go on msn messenger or gtalk?

Ravi


Quoting drummer486
Yes, found some decent data. Oanda is actually quite good about providing tick data. Of course, it's their own proprietary market-making feed, so it doesn't necessarily correlate on small timeframes to other brokers' feeds. I also found a valuable resource in the CME Group's futures tick data. They are beginning to focus more on FX traders... they even have a plan to introduce e-micro FX futures (the equivalent of mini-lot spot FX) by the end of Q1 this year. The data is better, the market is open and regulated, and the trading is generally more...
  • #19
  • Aug 28, 2010 12:00pm Aug 28, 2010 12:00pm
1 min data from alpari for various pairs (when alpari site's historical data is unavailable) is here:

http://www.megaupload.com/?d=XVUE3SF6

if you really need tick data for 99% modeling quality and scalping EAs, dukascopy has it for free but you need to convert it with these instructions and scripts:

http://alansforexblog.com/2010/06/14...eling-quality/
realize the universe is one thing, and attach it to your body
  • #20
  • Aug 28, 2010 12:46pm Aug 28, 2010 12:46pm
i have an account with dukascopy , i can get you whatever data u like and upload them to you , all u i need in return is to help me convert them to MT4 .

start posting what currency pairs do u need ?
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