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Good Historical (Tick) Data Source

  • #21
  • Dec 17, 2010 5:24am Dec 17, 2010 5:24am
Hi,

I am also a biomed eng working on automatic trading in Matlab.
I have some 1min -open,high,low,close) data that maybe helpful.
If interested please send me a PM or reply here.

Best,
  • #22
  • Dec 18, 2010 12:52pm Dec 18, 2010 12:52pm
Yeah you have to worry about the quality of the data too.

Gain capital's data from http://ratedata.gaincapital.com/ is NOT good quality data.

Dukascopy's data on the other hand is good. The same with Oanda's data if you have access to it.
  • #23
  • Dec 18, 2010 12:58pm Dec 18, 2010 12:58pm
Quoting drummer486
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.
I thought they already introduced those a while ago.
  • #24
  • Dec 18, 2010 1:47pm Dec 18, 2010 1:47pm
Another good source of very dense tick data (free registration required): http://www.truefx.com/?page=downloads

It does have a few problems (a few missing days, some bad ticks)

I use multiple tick sources - makes it easy to spot bad ticks at one provider.
  • #25
  • Dec 18, 2010 4:56pm Dec 18, 2010 4:56pm
Some good info here also: http://eareview.net/tick-data
  • #26
  • Dec 21, 2010 3:24am Dec 21, 2010 3:24am
Thank you all for sharing good resources for free forex data!
Downloading Dukascopy's tick data seems very time consuming, however TrueFX data can be easily downloaded. Which database provides more reliable tick data? (less missing days, less spikes...)
  • #27
  • Dec 21, 2010 7:03am Dec 21, 2010 7:03am
Quoting heman
Which database provides more reliable tick data? (less missing days, less spikes...)
Dukascopy
  • #28
  • Dec 8, 2011 3:45pm Dec 8, 2011 3:45pm
Quoting Marv
Yeah you have to worry about the quality of the data too.

Gain capital's data from http://ratedata.gaincapital.com/ is NOT good quality data.

Dukascopy's data on the other hand is good. The same with Oanda's data if you have access to it.


Why do you say GAIN data is bad quality? I would like to use that. Does it have gaps, or otherwise?
  • #29
  • Jan 3, 2012 3:46am Jan 3, 2012 3:46am
Quoting drummer486
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/
I'm looking to find a (free) source of Forex back-test data, and have been pleasantly surprised at the quality of this data from Gain Capital.

I have one key problem... however... for my purposes, I need to be able to synchronise the data with time of day in specific time-zones, and - hence - I need to establish the time-zone in which the data is presented by this source... and that doesn't seem to be specified anywhere. I know that Gain Capital's trading systems are in EST - which is GMT-5hours... and I also know that the archive splits weeks at 17:00hrs - but that might be an arbitrary administrative quirk of no relevance to the data itself. I've written a quick script and haven't identified any one-hour leaps on auspicious dates - so, I'm inclined to assume that the times in the data files are not in a local time that observes daylight savings.

In the absence of documentation (if anyone can point me at any I've missed, I'd be very grateful) my next idea is that I would like to use some well-documented shocks (on any currency cross - though I'm most interested in EUR/GBP and EUR/USD) as unusual events that I can use to synchronise Gain Capital's tick data with an external reference.

Can anyone point me at a a source from which I can glean (accurately timed, ?2011?) shocks to that I could reasonably expect to be reflected prominently in any tick data?
  • #30
  • Jan 3, 2012 4:49am Jan 3, 2012 4:49am
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...
http://eareview.net/tick-data

search for Windows download & convert to CSV how-to
  • #31
  • Jan 3, 2012 8:51am Jan 3, 2012 8:51am
Quoting aSteve
I've written a quick script and haven't identified any one-hour leaps on auspicious dates - so, I'm inclined to assume that the times in the data files are not in a local time that observes daylight savings.
Wrong. The data is in EST, which does observe DST. You couldn't find any one-hour leap because they occur between Saturday and Sunday, when the market is closed

They do have an API forum (you need to register): http://api.efxnow.com/forum/

As for shocks, that's not too hard. Just look at any (online?) M5 chart, search for a large candle and locate it in the tick data.

Another trick is to download tick data from two sources and plot the delta between them. Any alignment issue is instantly noticeable. The FXCM tick data for example changes it's timezone from EST to UTC at the end of 2009

http://dl.dropbox.com/u/190212/ff/m1_2009_fomc.png
  • #32
  • Jan 23, 2012 6:30pm Jan 23, 2012 6:30pm
Try this site for free tick data back to 2009. Only 10 major currency pairs but the data is clean and has an interesting backtest program.

http://4xdata.com
  • #33
  • Jan 24, 2012 3:06am Jan 24, 2012 3:06am
Hello,

you can find accurate tick data with floating spread here. There are data for 30 symbols from 8 brokers, see the full list of data here. Also there is a program which easily allows to import these tick data into MT4 platform.
  • #34
  • Jan 28, 2012 8:36pm Jan 28, 2012 8:36pm
Quoting Dave_C
Try this site for free tick data back to 2009. Only 10 major currency pairs but the data is clean and has an interesting backtest program.

http://4xdata.com
David, what do the two numbers after the bid and ask mean? They look like top of book volume.

And it would be nice if the data also included the milisecond, in case you have it.
  • #35
  • Feb 14, 2012 3:43am Feb 14, 2012 3:43am
I see Dukascopy has improved the free data download page on their website. Now you can download any amount of tick/candlestick/range/P&F data straight to one csv file. Check it out.

This still looks like the best free tick data source right now. If you know a better one let us know.
  • #36
  • Mar 13, 2012 5:12am Mar 13, 2012 5:12am
hi
what about import tick data to MT4 I can help you.
if you interest let me know
  • #37
  • May 6, 2012 2:53pm May 6, 2012 2:53pm
www.forexdata.biz - Supplying Forex historical filtered datasets. High frequency intraday for 21 currency pairs for 25 years. Optimal for back-testing. Also free daily historical data.
  • #38
  • Jul 13, 2013 4:52am Jul 13, 2013 4:52am
Quoting Craig
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.
i know this is quite late to ask but, craig, could you place some good ones here? Whetever you can find, really... It would be so helpful. Thanks. I will pm you this reply since chances are slim for you to be still following this thread. I was not able to find that many, maybe you have some google secrets which can help you. It would be great, thanks.
  • #39
  • Dec 13, 2013 1:01am Dec 13, 2013 1:01am
Hi

I am looking for historical tick data ,price along with the bid/ask volume information for various currencies(especially the emerging market ones).
Any idea where can I find them?

Thanks
  • #40
  • Jan 28, 2015 9:32am Jan 28, 2015 9:32am
It seems that tickdata are readily available these days. Does anyone know for certain as how to accurately test with tickdata?
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