Hi Can anyone help me to get hold of some EBS spot forex data at a tick level (need around 4-5 months, stamped at microsecond level, for 5-6 pairs). If you can help then please PM me. Cheers DS
I'm interested to see if this is any good too, OP, please report back on quality/completeness of that data.
The idea of historical data is supremely complicated in FX for several reasons: 1) Last look 2) What you see is not necessarily what you get. Your deal with the other party will affect the stream you see. So your deal with integral may be different than mine. There is no such thing as 'THE" data. Imo, the correct thing is to first figure out where (or more than 1) you are going to do buisness with, then get historical data from them. Even that is complicated because they will probably give you the tighest stream, which may not be what they give you in live trading. If you go to an FX ECN, that is probably the closest you can get to real data.
... or test on data from several providers to determine how sensitive your strategy is to a specific provider?
There is no last-look on EBS. But there are other problems with historical data, because what you will see on your screen depends on your prime broker. You will see only quotes from counterparties your prime broker has a relationship with. And the data you can get from ICap is most likely the complete feed, which might be different. BTW, Rabobank is the one with the most counterparties on EBS.
Hi fareastcoast, sorry i have no idea how good that data is, its not what I am looking for. I specifically need EBS data.
@nitro @abattia @pippi436 Thanks guys for all your comments. I understand the little nuances involved with tickdata (and FX tickdata in particular). As mentioned previously EBS doesnt have a last look option (so that is not an issue here). The screening issue (where you only see quotes from the counterparties you have been credit screened for) are also not of concern to me. The data I have tested in the past has either been collected/captured (so they are real tradable quotes) and I have also had unfiltered data from EBS (quote from all providers). In my particular case, either is fine. What I need (which only EBS and Reuters provide) is the last traded price information (Currenex, Hotspot, Lava, FX all, do not disseminate this information, or do with an inherent delay). Also for the pairs in questions EBS and Reuters are the most liquid venues, have the most trading activity, and hence the most frequent tick updates for last traded price. I already have some Reuters data, but there are 5 or 6 pairs that I am after in particular which trade much more frequently on EBS. The pairs that I am after are; USD/CHF, EUR/USD, EUR/CHF, EUR/JPY, USD/JPY and XAU/USD Any ideas where I can get this or can someone help me out? dont mind paying a little also if you know anyone that sells data. Cheers for all your help guys DS
@marketsurfer Gee thanks! I didnt think of that Anyway I have the data now, have arranged connections to the venues directy and collect my own data! Thanks for all your help guys. Now if anyone wants to trade this data??? I have Tick data for that last few months (and saving it going forward) for pairs on EBS / Reuters, microsecond stamped with top of book infirmation and last traded price. Anyone collecting any EUREX, LIFFE, CME data that wants to trade it for some high quality FX data??