VeriTrade Turtle Edition with Forex?

Discussions about trading the Forex markets.
Post Reply
forex_kid
Senior Member
Senior Member
Posts: 47
Joined: Thu Apr 17, 2003 5:30 pm
Location: Sacramento, CA

VeriTrade Turtle Edition with Forex?

Post by forex_kid »

Anyone out there tried using VeriTrade for a spot Forex portfolio?

Does it have the flexiblility to handle the unusual nature of margin as "good faith deposit" rather than a loan ?

How about varying pip values, amongst different currency pairs, and especially over time as interest rates change?


I'm really interested in the product, but would hate to be stuck with something that is only really suited for equities or futures.


Cheers,

the Forex_Kid
wcb
Contributing Member
Contributing Member
Posts: 8
Joined: Wed Apr 16, 2003 10:30 pm

Post by wcb »

Forex_Kid,

I have been working my way into the spot forex market for the last few months. The position sizing and transaction costs are very attractive, but the nature of data available makes it more difficult to deal with than my futures strategies.

A few questions:

What data source do you use?
How do you handle varying pip values when testing?

Thanks,

WCB
forex_kid
Senior Member
Senior Member
Posts: 47
Joined: Thu Apr 17, 2003 5:30 pm
Location: Sacramento, CA

Data and stuff..

Post by forex_kid »

To be honest, it's quite a struggle, and a big part of why I am teaching myself VB for Excel with the eventual goal of picking up some SQL skills as well.

I've built a relatively solid spreadsheet that generates crossrates for most pairs on the fly, based on changing interest rates.

but to be honest, right now, I'm simplifying my just taking the median interest rate for each pairs data set, and testing with that interest rate as if it was "fixed."


For data , after months of shopping, I've settled on Olsen.

http://www.olsendata.com/index.html?standard_datasets


Are you thinking OANDA, or do you have more capital and are looking at somthing like FXCM?


-Cheers,


Morgan
Jester

spot rates

Post by Jester »

If you need reliable spot rates for FX, try Reuters or Bloomberg.

Jester
:P
Forum Mgmnt
Roundtable Knight
Roundtable Knight
Posts: 1842
Joined: Tue Apr 15, 2003 11:02 am
Contact:

Post by Forum Mgmnt »

VeriTrader does currently support the idea of margin as a good faith deposit as this is needed for futures.

We don't currently support the idea of varying pip values between the various pairs. However, we will work with you if you do purchase to implement this to your satisfaction. The internals are set up so that adding a new type of data is not very difficult.

In our initial research, there doesn't appear to be a standard testing format for the data for this sort of thing, or at least I haven't been able to find one very easily. The easiest format would be to have each day specify the carry cost for that day based on the then current interest rate differentials.

I believe that many of the end of day vendors use Reuters as their wholesale providor for forex data.
Last edited by Forum Mgmnt on Tue Jul 01, 2003 10:58 am, edited 1 time in total.
Jimmy
Senior Member
Senior Member
Posts: 39
Joined: Wed Apr 16, 2003 11:31 am

Forex data vendor

Post by Jimmy »

I searched all over the web for historical forex data. I ended up going with Troy at OOWDG (www.oowdg.com), who was able to provide me with end of day data from Reuters even though his website did not state that he provides this data. Troy was extremely helpful in my search and a pleasure to work with!

Cheers,
Jimmy

DISCLOSURE: I am in no way associated with OOWDG. I just had a very pleasant experience and recommend Troy's services.
kmulford
Senior Member
Senior Member
Posts: 41
Joined: Mon May 12, 2003 5:59 pm
Location: Setauket, New York

Re: Data and stuff..

Post by kmulford »

forex_kid wrote:
For data , after months of shopping, I've settled on Olsen.

http://www.olsendata.com/index.html?standard_datasets

The Olsen data are very expensive; however, they have done extensive scrubbing. Check out their book, I believe the title is "High Frequency Finance." They detail how they filter data, and their description is very useful for anyone interested in clean data. Too, you will see some of the problems inherent in getting data from Reuters (most, but not all, FX dealing uses this platform), especially when a large bank rips the face off of a small customer: do you ignore this real trade, even if it appears as a large spike (outlier)? It's a dense read, but work through it.

--Kenny
forex_kid
Senior Member
Senior Member
Posts: 47
Joined: Thu Apr 17, 2003 5:30 pm
Location: Sacramento, CA

expensive indeed...

Post by forex_kid »

I had not gotten the scoop on cost from Olsen at the time of my original post. Hmmm..

Well, the book looks like a good read. Thanks for the recommendation.

Cheers,

Morgan
Post Reply