Tick Data: Historical Forex, Options, Stock & Futures Data
A place for redditors to discuss quantitative trading, statistical methods, econometrics, programming, implementation, automated strategies, and bounce ideas off each other for constructive criticism. Feel free to submit papers/links of things you find interesting.
I downloaded EURUSD tick datasets for several years back from Dukascopy and found out that the data is trash. Many missing periods, sudden inexplicable jumps from one hour to 2 hours in the future etc. There's no way for me to fix this, the quality is simply trash. Where can I find quality Forex tick historical datasets? I found a few sources googling around, but it takes a fuck ton of time to download it and check, it's even riskier if I have to buy it. Does anyone have any proved sources?
Hello, I've been using tickstory to optimize my EA for the past couple months. It works well, but it takes a long time to do because it's the lite version. Does anyone know where I can get free downloadable tick data? Highest quality as possible please.
Looking for high quality historical forex tick data with volume...
I'm writing an automated forex trading system and need high-quality data in order to test. I need tick data for the major pairs that include tick volume. I've found several sites that provide this service but they either don't have tick volume or are based on 1-minute bars. Any help is appreciated.
I'm looking for a source of both historical and live tick data. IqFeed and KineTick both offer 120 days of historical forex tick data (FXCM) as well as live for ~$100/month. Are there any other options that have a better price or deeper historical database?
I was thinking that we should have a better reference to acquiring data than what is currently on the sidebar. Here are a few links I have collected that I think will be helpful to others. Please post your own links and mention your experiences with these data providers. On acquiring data:
Dukascopy/Tickstory forex volume data is not trading volume
Getting Dukascopy / Tickstory forex data (I think the most famous free source of forex tick data), I noticed that the tick data csv has "bid volume" and "ask volume" columns. Getting bar data for them, the "volume" column is just the sum of the "bid volume" of all ticks in the bar. The way I understand the tick data, "bid volume" and "ask volume" are not real trading volumes, but rather the quantities in the top level of the order book (highest bid and lowest ask). If this is true, the "volume" data column in the bar data is very misleading, and this very famous and widely used data source does not contain 1) actual trading prices 2) trading volume. Am I missing something? Dukascopy data can be obtained here: https://www.dukascopy.com/plugins/fxMarketWatch/?historical_data
What's the fastest and easiest way to turn my data into timeseries data?
Hi, complete beginner here. I have a question on how to prepare my data for ML. I'm trying to turn forex tick data (from 10000 plus separate CSV files) formated like below:
...into timeseries data. My question is, what is the easiest way to do this by a complete beginner? EDIT: I forgot to mention that I need the time series data to have uniform time intervals, with each file being a unique record in the dataset.
Had a system developed for connecting Python, R, Matlab which downloads (free) forex tick data in realtime storing it, then converts to timeframes tables in Mssql database hosted on own aws servers (free for first year), for running quant algos in realtime.
Recommendations on tick size or intraday Forex data resources
Hi, does anyone have any recommendations on tick size data resources for foreign exchange please? It would be the best it collects as much currency pairs as possible, especially the dollar asia pairs. So far what I had found was Bloomberg, Reuters and 1Forge. Things about BBG and Reuters are like their data resources are quite unreliable and crude. 1Forge has no historical data. I have found a few other which has only G10 currency pairs. May I know from where you obtain these data for backtesting please?
Hi, Like most here, I’ve been working on building a strategy that best suits my trading style. Basically - I trade on both the M15 and H4 charts for mainly EURUSD. I’ve used mainly excel formulas to backtest my strategies - using 1M data downloaded from Histdata.com When forward testing my data on a demo account - results are virtually the same. (I mean in Excel, my EA will open/close trade at the same time for the same profit as my EA will when it live trades on MT4.) I see many people on this forum talking about tick data and its importance. I’m basically asking if I should be using tick data instead of 1M data in my backtests? Is it necessary and why is that? If my Excel formulas are showing the exact same results as my live forward testing, can I just keep using Excel? Thank you for the help!
Provides research-ready historical intraday data for global stock, futures, forex, options, cash indices and market indicators. Research-Quality Historical Market Data Solutions. ... Tick Data in the News: How Traders Working from Home Leverage Cloud and Data to Cope with the New ‘Normal’ ... How tick data is used for Forex trading ? What is a tick chart in forex? Definition :The bars on a tick chart are created based on a particular number of transactions. While time-based charts draw a new bar after a set period of time, tick charts display a certain number of trades (ticks) before printing a new bar. Free tick data is available at https://freetradingdata.com. (Data is updated monthly) Note: Support is now moved to the Agility Software Forum No third party software required - just place the read-only data (unzipped) in your \tester\history directory for 99% accuracy in backtests. Where can someone get free (or very cheap) high frequency tick forex data? Ask Question Asked 3 years, 2 months ago. Active 2 months ago. Viewed 9k times 9. 2 $\begingroup$ I am currently working on a large data set (approx 80 million data points over 10 years). I would like another set of data that has one currency in common. Download free historical tick data and trading resources for Forex, Commodities, Crypto-currencies & Global markets. Join our community of traders today!
A thorough introduction to using tick volume in Forex markets to add a new dimension to trading analysis and disambiguation between tick data and real volume... - One year tick data strategy test saw on this video. ... $ 294 367. Two powerful MT4 Forex EA settings Robots should have to make money in the Forex Market - Duration: 11:53. Demonstrates how to back-test your Expert Advisers (EAs) in Metatrader 5 using accurate, quality tick data (NOT 1-minute data) in 4 simple steps. The test is... Tick Charts in day trading: Are they better than minute charts? http://www.topdogtrading.net/youtubeorganic-trading Here are 3 advantages that tick charts ha... Real-time stock tick data analysis Lu Yang, ly2352.