Historical Data

[dageshi]

Does anyone have any opinions/reviews on http://www.snapdragon.co.uk/

They offer historical interbank tick data on the majors going back 1995 at £200 per pair. This might seen a bit expensive but then as people say you get what you pay for.

Anyone have any opinions on the data's accuracy/integrity or can offer any alternatives?

Thanks

 

[dageshi]

Question you have to ask yourself is do you really need TICK data going back that far (as opposed to daily or similar).

For GBP 200 a pair, it really should be exactly the data you want. Thats a lot of dough (especially if you trade a few pairs).

My prefered type would either by tick or 1min for the simple reason that any other timeframe can be constituted from it.

At the moment I'm trying to write my own backtesting framework using the excellent www.ta-lib.org . The idea is to allow me to break a strategy into three areas

Entry, Stop, Exit (Entry)
Leverage, No Contracts (Money Management)
Trailing stops, Pyramiding (Trade Management)

I want to accurately as possible simulate a real environment for the backtest, thats why the tick data is especially useful for the backtest, the trade management, trailing stops e.t.c needs to be as realtime as possible, whereas the entry criteria can be taken off normal timeframes.

 

[JonnyT]

You do not need Tick Data on Forex as the spread makes a mockery of using it.

1 minute data is fine for back testing purposes.

Always code to take the worst possible scenario by testing for a stop out on a bar prior to anything else.

JonnyT

 

[JTrader]

You do not need Tick Data on Forex as the spread makes a mockery of using it.

1 minute data is fine for back testing purposes.

Always code to take the worst possible scenario by testing for a stop out on a bar prior to anything else.

JonnyT

Hi JonnyT

In what way do the spread makes a mockery of using Tick Data on Forex?


And what exactly do you mean by - "Always code to take the worst possible scenario by testing for a stop out on a bar prior to anything else" - how is this done?

Many thanks

jtrader.

 

[leeshindig]

http://www.forexrate.co.uk/forexhistoricaldata.php

all free data downloads in weekly/daily/60 min/10 min/1 min and 10 second tick

all major pairs...scroll down past the stocks etc......

 

[JTrader]

Hi leeshindig

where/from what source does the forex and indices dukascopy data come from?

Is it possible to get this intraday data into ts2000i?

I have tried to get dukascopy csv data into ts2000i by converting to globalserver/xpo format using "hypertools for xpo". However, all my attempts have been unsuccessful. Have you managed to do this?

Also, I worry about the quality/accuracy of the free data from these websites. What is you view with regard to the accuracy and quality of the data?


Cheers

jtrader.

 

[dageshi]

http://www.forexrate.co.uk/forexhistoricaldata.php

all free data downloads in weekly/daily/60 min/10 min/1 min and 10 second tick

all major pairs...scroll down past the stocks etc......

This data is from diukascopy I believe?

I am slightly worried by that for the following reason

http://www.currencysecrets.com/articles/indicative.php

Are the authors fears overblown?

I'm not sure, but I think if I was going to risk quite a large sum of money trading I'd want to be very sure that my backtests are being done on credible data.

 

[JTrader]

Hi dageshi

is it the case that Dukascopy CSV DATA Export provides just the indicative prices?

Cheers

jtrader.

 

[dageshi]

Hi dageshi

is it the case that Dukascopy CSV DATA Export provides just the indicative prices?

Cheers

jtrader.

According to this

http://www.currencysecrets.com/data.php

He's reviewed alot of stuff and seems to know what he's talking about..

It's quite an impressive site.

 

[leeshindig]

Im not sure about getting it ino ts?

but it is accurate ohlc prices in each time frame you select from the menus on the download box...


to get older data set the date for data to end to your prefered date and set the number points back from that date..

so if you want 250 days data before 1/11/04 set date to that set number of points to 250 and timeframe to daily and you get 250 days of data...simple really

only thiing is with the data is it is continuous...so that it includes saturdays and sundays (which will appear flat if your are charting it) so you may have to find a way of deleting weeknd data?

but what do you want for free?

 

[JTrader]

After much experimenting (and perhaps time wasting) I have decided that the free data websites that I have come across are, in my opinion a waste of time. Getting them to download data and then get it into your charting software is no easy thing, and after that, there are serious doubts with regard to the accuracy and integrity of the data.

I would rather pay a modest sum to establish my reserves of historical data and then continue collecting it from my datafeed provider, and be sure that I am getting good quality data that actually works in a chart and that I feel I can trust - and has customer service for any problems -than waste time with the problematic free data.


Cheers

jtrader.

 

[JTrader]

You can access free historic forex tick data from http://ratedata.gaincapital.com. - the www.forex.com team.

jtrader.

 

[JTrader]

jtrader -

You can access free historic forex tick data from http://ratedata.gaincapital.com. - the www.forex.com team.

jtrader.

This data is available for 14 currency pairs and goes back to 2000. It is presented in weekly file sizes and each weeks worth of data is fairly big - 36000 rows in an Excel worksheet in the week I looked at. Therefore perhaps problematic getting large quantities of this data into a functional single file.

This data presents what i think are tradeable bid and offer prices in tick-by-tick, minute-by-minute format. 24hour continuous from 8pm Sunday to 430pm Friday.

I am not really familiar with tick data and would personally prefer simple 1 minute OHLC data.

jtrader.