FOREX Historical Carry Rates

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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mark kockerbeck
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FOREX Historical Carry Rates

Post by mark kockerbeck »

TradingBlox comes with sample FOREX pairs that include interest rates for various currencies (e.g. in Data\Forex\USD_Rates.txt).

Where do others get this historical information for pairs outside of the sample set? Places like HistData.com have esoteric pair *price* info but not the carry rates (which can have a big impact!).

Where do others get this data for their testing?
Tim Arnold
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Re: FOREX Historical Carry Rates

Post by Tim Arnold »

You can get the data from forex brokers like:
http://www.oanda.com/forex-trading/anal ... ical-rates

However each broker is likely different, so you should get the bid/ask and carry rates from the broker you are using.

Trading Blox has a real time direct and automated connection with FXCM and IB in beta now for Forex trading.
mark kockerbeck
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Re: FOREX Historical Carry Rates

Post by mark kockerbeck »

Thanks! That Oanda page seems broken. The submit input tag is not within the form element & thus won't actually submit... but with a little inline editing, I got the result needed.

The cURL command for anyone looking to automatically parse all currency rates for the max date range is below too (in case it's useful). A few things to note:
* Date range is the first part of the value block (URL encoded)
* Sed pipelines are also below to strip out the HTML (much better ways to do this)
* A little date parsing & it's close to looking like the *_Rates.txt files

Code: Select all

curl 'https://fx1.oanda.com/mod_perl/user/interestrates.pl' \
  -H 'Origin: http://www.oanda.com' \
  -H 'Accept-Encoding: gzip, deflate' \
  -H 'Accept-Language: en-US,en;q=0.8,mt;q=0.6' \
  -H 'Upgrade-Insecure-Requests: 1' -H 'User-Agent: Script' \
  -H 'Content-Type: application/x-www-form-urlencoded' \
  -H 'Accept: text/html,application/xhtml+xml,application/xml;q=0.9,image/webp,*/*;q=0.8' \
  -H 'Cache-Control: max-age=0' \
  -H 'Referer: http://www.oanda.com/forex-trading/analysis/historical-rates' \
  -H 'Connection: keep-alive' -H 'DNT: 1' \
  --data 'startdate=01%2F01%2F2000&enddate=01%2F01%2F2018&currency=AUD&currency=GBP&currency=CAD&currency=CNY&currency=CZK&currency=DKK&currency=EUR&currency=HUF&currency=HKD&currency=INR&currency=JPY&currency=MXN&currency=TWD&currency=NZD&currency=NOK&currency=PLN&currency=SAR&currency=SGD&currency=ZAR&currency=SEK&currency=CHF&currency=THB&currency=TRY&currency=USD&currency=XAU&currency=XAG&currency=US30&currency=NAS100&currency=SPX500&currency=UK100&currency=DE30&currency=HK33&currency=JP225&currency=BCO&currency=CORN&currency=WHEAT&currency=NL25&currency=FR40&currency=EU50&currency=SUGAR&currency=SOYBN&currency=NATGAS&currency=WTICO&currency=XCU&currency=USB02Y&currency=USB05Y&currency=USB10Y&currency=USB30Y&currency=CH20&currency=DE10YB&currency=US2000&currency=UK10YB' \
  --compressed \
| sed 's/<[^>]*>/,/g' | sed 's/,,/,/g'| sed 's/,,/,/g' | sed 's/^..//' | sed 's/.$//g'
Tim Arnold
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Re: FOREX Historical Carry Rates

Post by Tim Arnold »

Thanks, that's great.
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