fx data: futures, spot, ebs ...

Discussion in 'Data Sets and Feeds' started by man, Jan 9, 2007.

  1. man


    hi everyone. we have been working on futures data
    for years now, but only strategies on daily data. some
    months ago we started testing on futures data within
    american and european session time. we used data
    we collected ourselves via a reuters feed plus a blend
    with genesis data (if i recall correctly) for the backtesting
    work. we only did 5min data so far as our shortest
    time frame. and we chose the session time because
    of globex illiquidity.

    now we would like to move to spot, because we expect
    increased overnight liquidity here.

    reason for this thread: what data to buy from whom?
    how important is ebs these days? how much to pay
    for them? and so forth. how about oanda? do they
    sell data for longer histories?

    thnx for the help, guys. saves my time. hope it doesn't
    take too much of yours ...
  2. icash55


    I use free FX spot data from Gain Capital, OANDA, and from unknown source which you can download from e-donkey/e-mule (search: forex data. It's very good quality, clean 1M interval data IMO, and quite long term, starting from 2001, + some more 15M data). Alpari also has free data (http://www.alpari-idc.ru/en/dc/databank.php)
    Data from Gain Capital and OANDA are tick data, which you need to process to make interval data. OANDA now offers FX data starting from 2004 free to their customers with minimum $1000 balance. Only 5 pairs however. Info: http://fxlabs.oanda.com/cgi/fxlabs.pl?id=9
    I'm not sure if more OANDA platform data is available for purchase. Olsen Data offers a lot more data, but I think it's different (interbank data from many sources). The best data to use I think would be from the same source you want to trade with. Beware of volatile indicative data from unknown sources! Compare with your platform data if possible.

  3. man


    perfect. i jut got the pricing for ebs data. history is per year and
    currency USD 5.000,- which i would call ... rich.
  4. man


    thnx a lot!
  5. icash55


    GAIN Capital has data from 2000, but it has quite many holes in early data.