Hi guys, am going for multi-year backtests of my custom black box. Can anybody recommend a source for preferably free historical FX tick (bid/ask) data for a bunch of pairs (incl AUDxxx, xxxJPY etc)? I've got a source going back to 2000 but their bid/ask is fairly wide in the early years and still rather wide-ish in the later years... thanks in advance!
done an ET search and found this: olsen's admitedly the rolls but way too expensive tickplusdata's affordable but i suspect its currency futures, not suitable... i need spot... sorry to be difficult and "free" would be tons better... i don't mean to skimp but what would anyone want to pay for data storage??
Is the data from 2000 from GAIN Capital and the spreads are too wide? Why not just set fixed spreads? OANDA offers FX tick 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
Yes, it's Gain Capital's. i could set tighter fixed spreads but for my marketing i want to be able to say that i didn't massage the raw data in any way... Good point re Oanda, at least for these pairs and up to 2004 that will be a significant improvement on spread-related distortions. Thanks
Just thought i'd mention, now that i am up to my neck into it, Gain Capital's historical tick data is a complete dog's breakfast... am zooming in on 2005 for a start, some "weekly" files actually cumulate a couple of weeks, sometimes week X actually contains data for week 1 + 2 + up to that point in a given month, sometimes it includes the portion of the previous month's last week's data when there is a crossing week, sometimes not, even if there is a crossing week, sometimes week 3 of a month is just week 3's data (well, why not after all!?!), but it may also be week 3 and 4 combined... etc etc... 0 consistency... nothing one can't fix but boy, i cld sure have done without this... what's so hard about saving a week's worth of data, nothing more, nothing less...
let's be honest, the Gain Capital data is absolute crap... some files even have tick data going back and forth between multiple dates... i've now realized that i also have to sort about 22 friggi' GB worth of historical shite tick data if i want my multi-year multi-pair backtests to make any sense... what next??... this is taking tons more time & resources than i had expected, for absolutely no good reason... what a bunch of fucking morons, Gain, can't even save chronological tick data properly... no wonder they are "offering" this stuff for free... well, be warned!