Dukascopy Historical Volume Data Spikes

Discussion in 'Data Sets and Feeds' started by kojinakata, Apr 19, 2017.

  1. Hi everyone,


    Just downloaded historical data from dukascopy, but when I plotted Volume against time, I think there are a few irregularities and problems in the data. I donwloaded 5 minute bar data of BID prices from 01.01.2013 to 31.03.2017 for EURUSD pair. I have attached the plot of Volume data of BID bars below.

    For example, there is a a huge cluster of spikes in volume around the beginning of July 2014 and another cluster around September 2016. Apart from these clusters the volume data seems consistent from the start of 2013 to the end of March in 2017.

    Are these spike clusters based on some fat-tail event or just irregularities with the data?

    Photo link: https://www.forexfactory.com/attachment.php?attachmentid=2271308&d=1492523430
     
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  2. wrbtrader

    wrbtrader

    I think you should compare your Dukascopy vendor with another data vendor. Thus, you should subscribe to two different sources because its very common for data vendors to have irregularities.

    Maybe even use a realtime EurUsd source to find out if there were any fat-tail event soon after they occur.
     
    truetype likes this.
  3. The thing is Dukascopy is free and I don't have the resources to buy data from another source. However, volume charts from Oanda doesn't seem to be similar to the Dukascopy one and I can't seem to download Oanda's daily data.
     
  4. wrbtrader

    wrbtrader

    You may need to subscribe to somebody for at least one month to determine if the Dukascopy free data contains irregularities or you may need to find someone that's using a different data vendor so that they can send you historical data so that you can compare to Dukascopy.

    By the way, I know for fact that Dukascopy has irregularities based upon others saying at other forums wondering about the data for other time periods.

    Thus, you may have to live with using irregularities via free data versus paying for data that also has irregularities but less than Dukascopy.

    I know this doesn't help but I have a saying...if you can't afford accurate data...you can't afford to be involved in the markets. Surely you don't want to place any kind of trade on data that has irregularities. If you're not trading and you're just studying the price action...find someone to just be nice and send you free historical data.
     
  5. just21

    just21

    Last edited: Apr 21, 2017
    wrbtrader likes this.
  6. just21

    just21

    wrbtrader likes this.