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Any reliable forex historical paid data (tick/min/hour) ?
Hello,
I'm looking for the 'perfect feed' to backtest forex strategies. The data should be tick or at least 1 or 5 min data minimum and with as much historical as possible. But most of all, the data should not contain any hole in it, like the dukascopy one.. (which is free btw). I'm ok to pay for that, what are my options ?
Thx !
I have read that Pepperstone has good quality data. It comes in per-month files (tick) and goes from mid 2009 to mid 2011.
If you don' t need "volume" that should hopefully do the trick. Since I downloaded some and it doesn't have "volume" that I need for my indies I have not bothered testing it.
Ironically I am left with the same problem you have because of this reason. If you do find good tick data (even paid) wit volume for any of the major pairs I would be very happy to hear about it.
As you probably know, Kinetick has 120 days of tick data with the USD75 monthly fee.
I have used Dukascopy data for back testing for years and found it to be very representative of real time markets. I only backtest with ticks (lesson learned). What are you referring to when you say "hole in it"? Could you point me to some reference regarding this?
I have a couple of solutions; hopefully at least one will work for you.
FXCM offers a Historical Data Downloader at our app store (link below and here: FXCM Apps). The price of the GUI is $499, however it provides you access to everything: roughly 3-4 years of tick data on the major pairs, roughly 8-10 years of 1 minute data on the majors, and access to all CFD data as well! Last time I checked, there were roughly 90,000 ticks per day on eur/usd – pretty active if you ask me!
I have a couple of questions regarding FXCM's Historical Data Downloader application.
1. If I purchase the application, do I only require a Demo FXCM account to be able to use it, or do I require a fully funded trading account?
2. Is the complete set of data available via the app also available to download through NinjaTrader if I connect to a funded FXCM via NinjaTrader? (Using the Historical Data Manager in NinjaTrader)
I currently have a Kinetick subscription, but am somewhat dissatisfied that they only offer ~120 days of historical tick data for Forex, so I'm looking at alternatives.
Let me answer your questions in the same order asked:
1. The Historical Data Downloader GUI will work with a live or demo FXCM account. Additionally the GUI allows you to download in multiple formats: MT4, CSV, Strategy Trader, NinjaTrader and custom (custom delimiter, date format and file type .txt or .csv).
2. As I understand it, the Historical Data Downloader is pulling data from the same server as NinjaTrader has access to, so yes, the data should match.
I have never downloaded data through NinjaTrader, so I can’t speak to how it works. With HDD, if I am in need of a significant amount of data where the file is over 100Mb (say more than 3-4 months of tick data, or over a year or two of 1 minute data) I have left the HDD running on a VPS overnight and its worked without issue. And again, the HDD GUI provides access to every historical price that FXCM has.
Thanks again for your post, and if there are any questions, feel free to email me: [email protected]
Brad
If you have any questions about the products or services provided by FXCM, please send me a Private Message or use the BMT " Ask Me Anything" thread
While the Historical Data Downloader (HDD) retails for $499 at FXCMapps.com, we are currently making it available for free to FXCM NinjaTrader clients. Not only will this allow to have access to data that goes much farther back, but if you ever experienced long wait times in loading the chart data, using HDD will resolve this issue. Here's a link with more details:
I was looking at developing automatic strategies. There is so much varying information in the net on the data issue.
One website, forexdata dot biz/, says they have gone through their data and fixed any problems.
How does FXCM data compare with that? What is the quality of FXCM data? I am so far happy with FXCM and loved the idea of the HDD when I saw it in the app store. But only question I had left was the quality.
There are a few things to note, and I think the most important is that FX is an OTC (over the counter) market, so there is no central exchange where all orders are sent to. This means that there can be times when the price available through one broker may not exactly match others. This also impacts historical data as well.
The HDD platform available from www.fxcmapps.com does offer access to all of the historical prices at FXCM. On major pairs, such as EUR/USD, GBP/USD, USD/JPY, USD/CHF and so forth, the rough average is about 90,000 ticks per day. This, obviously, depends on market activity (higher volatility leads to more ticks and vice versa), but overall the data is very robust.
In addition to the quality of data, the amount of data is likely just as important. When creating an algorithmic strategy, you not only want to have high quality data, but lots of it to test your strategy in many market scenarios. Again, the HDD platform provides access to all of FXCM’s historical data, going back about 10 years for 1 minute data, and even further for larger timeframes.
I hope this helps, if you have additional questions, feel free to email me or post them here.
Thanks again!
Brad
If you have any questions about the products or services provided by FXCM, please send me a Private Message or use the BMT " Ask Me Anything" thread
