Forex historical data

Discussion in 'Data Sets and Feeds' started by cb888trader, Feb 24, 2011.

  1. hi,

    I'm in the process of back testing my Forex strategy and I'm a bit confused about how should I treat historical tick data in order to construct OHLC bars.

    Historical data (from TrueFX GainCapital etc) contains bid and ask prices - not actual trades. The log files don't even have volume information. So how can I tell if those bid-ask prices where actually traded at that time?

    Also - I believe that the tick files contain sampled data which means I can miss any of the high low open or close prices.

    Shouldn't those vendors provide log files for actual trades that where made instead of bid-ask information which merely represent the order book?...

    Any insight on this subject is appreciated.

  2. Dan_Gor


    I am using TradeStation, if you want you can tell me exactly what asset you are interested in and i will give you a 6 month back tick file, or as much as i can send
  3. Depends on the timescale of your strategy.

    You may only need more granular data if you intend to trade at a higher frequency.
  4. kut2k2


    For backtesting, you should chart the mean of the bid and ask. Then when you get a trade signal, keep in mind that you have to buy at the ask and sell at the bid (the spread is your FX "commission"). How you account for the slippage between when you get your signal and when your trade is executed is up to you.
  5. jharmon


    Do not trust a fx bucket shop (broker) to give you accurate FX data.

    Trade FX futures instead and at least the FX futures exchange is centralized with no vested interests.
  6. Yes - I completely agree about FX Futures being a regulated environment + more transparency (order book, volume etc)

    BUT - from transaction fees stand point we're talking about a full 4$ round trip cost for full contracts right?

    That's a big show stopper for highly active ATS with short periods of holding time.

    In Spot FX - I get the convenience of "micro transactions" with very small over head on the spread.

    Am I missing something?

  7. I think you're missing a lot

    first of all, No fx brokers offer tick charts - tick meaning trade as well as minimum
    price fluctuation, and only Oanda offers 5 10 30 second charts via FxTrade but not
    with their MetaTrader 4

    the Only tick currency/pairs instruments available to retail traders are futures
    rt commissions are lets say $5 for the 6E Euro FX $125,000 contract whereas the
    fx spread could be anything - most brokers have continually fluctuating spreads,
    Onada's spread changes but is usually constant. fx broker spreads widen and can
    widen substantially, Oanda - lowest 0.9 pips, 10 pips during a 'fast' market and
    before, during, after a news/economic release, whereas futures commissions are
    fixed at $5 regardless

    you Must back test with the data of the broker you're going to trade with and their
    charting/order entry program. you cannot write an EA for MetaTrader 4 or NinjaTrader
    and expect it to work with another broker. most fx brokers have a slightly different
    price and - I think - because of bid/ask ticks ? it's something that causes problems
    with EA executions from broker to broker. with NinjaTrader it's a question of which
    feed is being used since some feeds are filtered and some not

    then there's backwardization that has occurred with the June 6E contract being
    about 18 pips lower than the fx price. there are mini and micro currency futures
    contracts but their volume currently is low at around 5-6,000 v the 6E's 250-500K
    also futures prices/trades do not occur simultaneously with fx 'trades', and while
    the futures contract is a constant amount, fx trades - if they could be known will
    be for varied amounts

    you might take an Oanda FxTrade demo and watch the 5 and 10 price action, who
    knows whether or not there's trades going thru but compare the eurusd with the 6E
    in a normal market
    unfortunately FxTrade doesn't have the facility to use EAs but Oanda does offer an API - $$$
  8. and just remembered, some demos will use a different server from the 'real' server
    so that's another matter that has to be taken into consideration

    the real test of 'back testing' is real money live trading
  9. kut2k2


    So are you saying all fx brokers are scammers (bucketshops)? Since they can set up the data anyway they want, unlike stocks and futures which are uniformly priced from broker to broker. And if the demo you use is not the same server as the actual trade server, is your "another matter that has to be taken into consideration" a way of saying the fix is in?

    I'm not being antagonistic here, I'm just honestly trying to find out if there are any honest fx brokers.

    The bottom line for me is: if I can't trust my backtests, I never go live with a system.
  10. It is easier for Forex brokers to manipulate price data since their is no central exchange (and their commissions are based on price spread). I personally prefer the currency futures.
    #10     Mar 29, 2011