Obtaining forex intraday data

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blueberrycake
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Obtaining forex intraday data

Post by blueberrycake » Sun Jan 16, 2011 1:46 am

Does anyone know of a good source to purchase quality intraday (1 min resolution or less) historical data for the various forex pairs? I've been using Tickdata as my primary intraday data source, however, they only have currency futures and not spot forex. Currency futures have historically been pretty thinly traded during London hours, which is when a lot of forex trading takes place.

Seems like the ideal data source would be a high frequency record of the midpoint of the bid/ask from an interbank ECN. Does anyone know if anything of that sort is available for purchase by a retail trader?

-bbc

Jez Liberty
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Post by Jez Liberty » Sun Jan 16, 2011 9:22 am

I have heard of and read several articles on Olsen Data (not used myself) (LINK).
They supposedly have good data but are quite expensive (YGWYPF I suppose, ).

Another option (which I have used) is to download historical data from the forex trading company they are associated with: OANDA.

It has limited functionality/coverage: you can only download tick data for 5 pairs, going back from 2004 but it is *free* (as long as you have an account with them with over $1000). LINK
I suspect (but havent verified) that the data is similar to the corresponding Olsen data...

Another one in my bookmarks for intra-day data (good quality but also pricey) is CQG..

bobsyd
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Post by bobsyd » Sun Jan 16, 2011 3:17 pm

Check out DTN IQFeed. LINK

blueberrycake
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Post by blueberrycake » Sun Jan 16, 2011 4:51 pm

Jez Liberty wrote: Another option (which I have used) is to download historical data from the forex trading company they are associated with: OANDA.
How was the quality of the Oanda data? I had previously looked at FXCM data and saw some unexplained time gaps in their data. I've also seen that some providers (both FXCM and IDEALPRO) will occasionally have spikes in their data that don't appear in the currency futures markets, which seems a bit suspect.

-bbc

Jez Liberty
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Post by Jez Liberty » Sun Jan 16, 2011 5:51 pm

I "dusted off" my old java app, which I'd built to build M1, M5, M15, H1, D1, etc. quotes off tick data from OANDA - time flies: It was 5 years ago!

Not sure about the data quality now, but I did find it acceptable then and I managed to find an old file produced by my app. It basically output all data gaps (in price or date) over a tolerance threshold.

I am attaching it here - hopefully that'll give you an idea wrt data quality..
Attachments
ALL OANDA Data Gaps.txt
Gaps in OANDA Data
(155.04 KiB) Downloaded 259 times

drm7
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Post by drm7 » Mon Jan 17, 2011 12:44 pm

Dukascopy provides free intraday day on its website. You have to download it day by day, but you may be able to find a script to automate it. Both the bid and ask data are provided - you need to average it yourself. The other quirk with the data is that it is in OCHL format, not OHLC.

You may be able to get a more complete data file by signing up for a trial JForex account.

babelproofreader
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Post by babelproofreader » Mon Jan 17, 2011 3:36 pm


babelproofreader
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Post by babelproofreader » Sat Apr 09, 2011 2:11 pm

Just learned about http://truefx.com.

blueberrycake
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Post by blueberrycake » Sat Jun 18, 2011 1:23 pm

Update for anyone else interested in this:

If you sign-up for SierraChart, it lets you download and export a few years worth of FXCM forex data with 1 second resolution for free. SierraChart's own costs are pretty minimal.

For anything longer term (or more authoritative), Jez Liberty's recommendation of CQG DataFactory appears to be the best option. If you plan on buying many forex pairs its incredibly expensive -- if you only need one or two, it's pricey, but not unaffordable.

-bbc

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