Spread Betting Historic Data

[jumboclarkie]

Hi all, can someone tell me whether there is anywhere I can get hold of or record intra-day tick by tick spread betting data from for instance IG Index, Capital Spreads, CMC etc? I'd like to load it into excel and trial some formulas rather than using the live or even demo data, this method is too slow, I really want to blast through 20,000 to 30,000 records for the ticks of a specific day.

tx
Mike Clark

This is my first post please be gentle!

 

[Sanity]

Hi all, can someone tell me whether there is anywhere I can get hold of or record intra-day tick by tick spread betting data from for instance IG Index, Capital Spreads, CMC etc? I'd like to load it into excel and trial some formulas rather than using the live or even demo data, this method is too slow, I really want to blast through 20,000 to 30,000 records for the ticks of a specific day.

tx
Mike Clark

This is my first post please be gentle!

Hi Mike, I see you are a developer. Best option is to try a few platforms and use a tool to sniff data off of the wire. HTTP Fiddler is good for this with regards to using with charting software. If you need to look a bit further into protocols you can try wireshark/winpcap and Fiddler Core. You should be able to pull tick/bar live data from most of the major companies. Products from a company such as "sothink" could also useful, ....apparently.... If you're just looking at mainly forex data, then the easiest option would be use the DDE export out of MT4, or write something yourself that sits in MT4 and streams out data (i.e. if you need more than one MT4 stream from the same computer).

Hope that gives you a start....

San.

 

[hacks]

As Sanity said, you can try the MT4 spread betting providers. I have done this with GKFX, and I have exported a lot of data. The other ones that use MT4/MT5 are FXCM, ActivTrades, RPDFX and Alpari.

 

[jumboclarkie]

Hi Mike, I see you are a developer. Best option is to try a few platforms and use a tool to sniff data off of the wire. HTTP Fiddler is good for this with regards to using with charting software. If you need to look a bit further into protocols you can try wireshark/winpcap and Fiddler Core. You should be able to pull tick/bar live data from most of the major companies. Products from a company such as "sothink" could also useful, ....apparently.... If you're just looking at mainly forex data, then the easiest option would be use the DDE export out of MT4, or write something yourself that sits in MT4 and streams out data (i.e. if you need more than one MT4 stream from the same computer).

Hope that gives you a start....

San.

Thanks San, I've had a look at fiddler today and it doesn't seem to capture tcp it appears to only do http, anyway wireshark is better (if you can get through the techie bit) and its easier to see the tcp transfers going on. Whats the cost for MT4? can't get a direct price for it without subscribing etc. DDE is a possibility but can be a little slow at times, though not sure about the MT4 implementation, slow meaning would be good to get millisecond access.

Anyway not wanting to turn this into a techie thread I'll do some further research, thanks for the pointers, very helpfull.

Mike

 

[jumboclarkie]

As Sanity said, you can try the MT4 spread betting providers. I have done this with GKFX, and I have exported a lot of data. The other ones that use MT4/MT5 are FXCM, ActivTrades, RPDFX and Alpari.

Hows the speed of capturing?

Mike

 

[hacks]

Hows the speed of capturing?

Mike

I don't know; I haven't tested.

I found an expert adviser on the internet that exports data real-time, but has a limit of 1,000 bars. It may not seem a lot, but as I have programming experience, I wrote a separate program that just joins the files together.

 

[jumboclarkie]

I don't know; I haven't tested.

I found an expert adviser on the internet that exports data real-time, but has a limit of 1,000 bars. It may not seem a lot, but as I have programming experience, I wrote a separate program that just joins the files together.

Thanks Hacks, I'll do a bit of research and coding myself and post a response in a while for anyone who is interested.

Mike