FPI - Fractional Product Inefficiency: The Impeccable Hedge

[smotty1]

For a realistic backtest, having the true Bid/Ask tick data with second timestamps for major FX pairs would be great.

The trouble is, I can't find such a data anywhere on the internet. Does anyone have access to the data like this?

Michal

www.olsendata.com provide tick by tick bid/ask data

The slight downside is the cost A years worth of data is 36.4 million ticks and costs $10268 per currency

smotty

[michal.kreslik]

www.olsendata.com provide tick by tick bid/ask data

The slight downside is the cost A years worth of data is 36.4 million ticks and costs $10268 per currency

smotty

Sure, I know about Olsen. Have a look at my "FOREX historical data sources" article:

http://kreslik.com/forums/viewtopic.php?p=434#434

It would be great to dig up some moderately priced Forex tick history data.

Michal

[Harm]

Key is to get accurate bid-ask data. I will start to record 1m live feed from my brokers for some number crunching.

For a realistic backtest, having the true Bid/Ask tick data with second timestamps for major FX pairs would be great.

The trouble is, I can't find such a data anywhere on the internet. Does anyone have access to the data like this?

Michal

I'm writing a script to save m1 close data from my MT4 brokers in a csv file. I'll "record" bid ans asks for all pairs for a few weeks (including some major news events) and use this to play around and evaluate my ideas. It would be nice to see data from different brokers too.

I might open an account with EFX to do the same, but I need to get familiar with neoticker, and I don't like the idea of paying for a trading platform... But perhaps that's just me being dutch

I agree that second data would be better, but if the inefficiencies last that short, they're not tradable anyway.

if only I had a bit more time on my hands....
But I need to get out of this dayjob anyway

[michal.kreslik]

I'm writing a script to save m1 close data from my MT4 brokers in a csv file.

Harm, there's plenty of quality 1 min FX data on the internet for free.

and I don't like the idea of paying for a trading platform... But perhaps that's just me being dutch

Yes, very probably You've got to overcome the genetics then I've been to the Netherlands twice (the last time this May). It's a wonderful country. However, I've heard the Dutch don't heat much in their homes, even if the children complain about them being cold

Michal

[Harm]

I haven't found true bid/ask data which is what I want. Also I can compare the real pricefeeds from different brokers, which should be interesting as well.

Holland is okay, but your right, we like it cheap.
You're from Czech republic right? I've been there a few times to Brno and Prague and the fed met plenty of beer to keep me warm...

[Nicholishen]

i will write a script to logg ticks please provide me with a sample of how you would like it formatted.

[androfx]

Key is to get accurate bid-ask data. I will start to record 1m live feed from my brokers for some number crunching.

For a realistic backtest, having the true Bid/Ask tick data with second timestamps for major FX pairs would be great.

The trouble is, I can't find such a data anywhere on the internet. Does anyone have access to the data like this?

I'm writing a script to save m1 close data from my MT4 brokers in a csv file.
I might open an account with EFX to do the same

I do not know what is legal status with data from MT4 brokers, but demo on EFX clearly state that data is just for personal usage and you should not distribute it further...
I have met the same when posting with the user of Oanda API.

I have made a tick saver script for MT4 but I do have it on home pc... busy saving ticks while I am on road. If anybody would be interested, please remind me on the weekend to post it to forum.
For 1m or more I am attaching Period_Converter* script I have - I do not know from where...

With EFX - I am preparing program which would be able to save market prices every second or less (configurable). I have trouble implemeneting function to get every tick but I will crack that too. If you run EFX - in busy times the prica can change many times a second (yes,yes today I have been watching -0.0002 spread sometimes ).

I think that 1second resolution is quite ok for tests. For actual trading I would preffer realtime updates - then it is possible to time your entries to relativelly quiet market - I do not want to have slippage or unrealized orders.

[Nicholishen]

Let me know how this works.

Filename saved by currency pair. The file can be found in the experts/files folder.

Columns:
1. Time Stamp
2. Seonds elapsed
3. Bid
4. Ask

[michal.kreslik]

i will write a script to logg ticks please provide me with a sample of how you would like it formatted.

The problem with MT4 data is that the spread is artificial. It doesn't reflect the true interbank spread, so its applicability is diminished.

Anyway, the best format is the FX-pair named .csv file with separated date and time (in Eastern US Time) fields, Bid and Ask. For example:

Code: Select all

date,time ET,Bid,Ask
20061107,152501,1.9011,1.9012
20061107,152503,1.9012,1.9012

Michal

[Nicholishen]

If anyone here is trading with currenex, can you please PM me? I appreciate it!

Nick