Forex historical data

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

  1. In general - I think that the big FX Retail Shops which claim to have no dealing desk will not skew prices due to the fact that it is becoming a common practice to cross check feed quality from multiple sources. It is true that spreads are versatile and can fluctuate in fast moving markets but if you run an ATS you can always filter out possible trades in times where the bid-ask spread is above certain levels.

    I'm still not convinced that a low end ATS (unlike HFTs) can retain profitability due to round trip contract commissions in regulated exchanges.

    Does anyone know of a thorough analysis comparing both alternatives (Spot Market vs FX Futures) in terms of ROI / Risk-Reward ratios etc?
     
    #11     Mar 30, 2011
  2. no. that's what You're saying

    what makes you think every fx broker is using the same source for price data ?
    see for instance eSignal's sources - contributors: http://kb.esignal.com/display/2/ind...4LG2c3&cid=1&cat=&catURL=&r=0.824725389480591

    what makes you think the demo server data is the same as the live data server ?
    the data may well be the same, the broker has a demo server so as not to overload
    the live data server. it used to be the data was different from server to server, these
    days that may not be the case, but still needs to be verified with the broker

    some versions of MetaStock's 'System Tester' for instance have flaws, to learn about
    MetaTrader for instance I suggest you Google: metatrader backtesting

    the above has nothing to do with whether or not fx or other brokers are 'scammers -
    bucketshops', simply that as I first said, you're missing a lot


    'scamming' however has taken place:
    'NFA fines Gain/Forex.com $459,000'
    http://www.elitetrader.com/vb/showthread.php?s=&threadid=209349
    'NFA's new/expanded 'slippage' investigation'
    http://www.elitetrader.com/vb/showthread.php?s=&threadid=213684

    bucketing is a broker accepting an order from a customer but not placing the order
    with the exchange, the idea being the customer's 'bet' would be wrong - in addition
    to charging a commission, the broker could also collect the loss amount
    fx brokers then imo are bookies, or, were
    see 'FXCM Advantages' for instance regarding 'No Dealing Desk Forex Execution'
    http://www.fxcm.com/
    initially, pre regulation fx brokers weren't able to provide 'bank dealing' since banks
    weren't interested, as the business has grown that's no longer the case - at least
    for some brokers

    and if you want to check-out Oanda: http://fxtrade.oanda.com/community/fxmessage/ultimatebb.cgi
     
    #12     Mar 30, 2011
  3. kut2k2

    kut2k2

    No, that's what I was Asking. You should learn the difference between a question and a declaration.
    What makes you think I think that? Regardless of data source, trades take place at specific prices and good data sources will consistently reflect that by agreeing on the trade prices. I don't see this problem with stock brokers, so I have to wonder why I need the specific data from an fx broker to be able to do backtests. Yes, the spreads will vary from fx dealer to fx dealer, just as commissions vary from stock dealer to stock dealer, but I can still backtest stock trading systems using the same historical stock data from a variety of sources that all agree on what the actual data are.
    My question was why would the fx historical trade data vary from dealer to dealer if it wasn't a scam.
     
    #13     Mar 30, 2011
  4. depending on the liquidity sources and the spread policy during fast moving markets - the fx brokers' price rate will vary to some extent. I don't think though that different data sources (assuming no scam) will have significant influence on the backtest results assuming that: 1. trade prices are calculated based on actual historical rates down to the exact moment of the trades 2. ratio of number of #trades / total num of tested bars is big enough 3. theoretical slippage penalty is included.
     
    #14     Mar 30, 2011
  5. BECAUSE THERE'S NO SINGLE SOURCE OF SPOT FX DATA

    nothing to do with scamming about which you seem fixated
     
    #15     Mar 30, 2011
  6. Hi, I started investing in the forex system a year ago. I check out the status of forex rate in the news paper for updating information but from couple of months ago my strategy is not working in picking right forex for me. I want to know if there is any strategy or tips I can get to make my work in forex system I will be glad to have..Thanks in advance for helping.
     
    #16     Sep 13, 2011