Forex historic data comparing

Sources of data to import to the program
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felipe
Posts: 3
Joined: Thu Jan 05, 2012 8:50 am

Forex historic data comparing

#1 Postby felipe » Thu Jan 05, 2012 9:07 am

I downloaded the historic data from http://ratedata.gaincapital.com specifically the file:

http://ratedata.gaincapital.com/2011/12 ... _Week4.zip

I opened the EUR_USD_Week4.csv.
I'm looking for the values of the "1 minute" candlestick so the date comes from:
2011-DEC-29 02:29:00 to 2011-DEC-29 02:29:99

Bellow the values of the file on this range:

Code: Select all

EUR_USD_Week4.csv:
lTid,cDealable,CurrencyPair,RateDateTime,RateBid,RateAsk
1858344579,D,EUR/USD,2011-12-30 02:29:09.103000000,1.294150,1.294320
1858344739,D,EUR/USD,2011-12-30 02:29:13.887000000,1.294130,1.294300
1858344767,D,EUR/USD,2011-12-30 02:29:14.603000000,1.294220,1.294390
1858344800,D,EUR/USD,2011-12-30 02:29:14.917000000,1.294250,1.294420
1858344878,D,EUR/USD,2011-12-30 02:29:17.667000000,1.294260,1.294430
1858344898,D,EUR/USD,2011-12-30 02:29:18.010000000,1.294280,1.294450
1858344909,D,EUR/USD,2011-12-30 02:29:18.370000000,1.294250,1.294420
1858344934,D,EUR/USD,2011-12-30 02:29:18.697000000,1.294240,1.294410
1858344986,D,EUR/USD,2011-12-30 02:29:21.447000000,1.294230,1.294400
1858345267,D,EUR/USD,2011-12-30 02:29:48.293000000,1.294190,1.294360


How can you see these values generates the 1 minute candle:

Code: Select all

Open: 1.294150
High: 1.294280
Low: 1.304130
Close: 1.294210


But when I look for these values on FOREXTraderPRO software I found these values:

Code: Select all

Date Time: 30/DEC/2011 02:29:00
Open: 1.29425
High: 1.29427
Low: 1.29414
Close: 1.29420


Am I doing something wrong, or the values from historic data are not really exctly?

the cDeleable infears in something?

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Tantalus
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#2 Postby Tantalus » Thu Jan 05, 2012 11:30 am

What is FOREXTraderPRO software?
Tantalus Research - Developing 21st Century Trading Systems.

felipe
Posts: 3
Joined: Thu Jan 05, 2012 8:50 am

Rate data

#3 Postby felipe » Thu Jan 05, 2012 11:50 am

ForexTranderPro:

http://www.forex.com/land-windows.html

I also found that http://www.forextester.com/data/datasources.html datasouce of EUR_USD

Where do I can find a reliable data source?

The three different ones I saw have different data.

Which is the most reliable historic data source?

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#4 Postby FT Support » Thu Jan 05, 2012 5:09 pm

Hello,

Each broker has his own quots so there can be slight differences in data.

We recommend to download data from our server, see details here:
http://forextester.com/HistoryServiceDescription.html
Check our other products here:
www.fx-metropolis.com
www.forexcopier.com

felipe
Posts: 3
Joined: Thu Jan 05, 2012 8:50 am

#5 Postby felipe » Fri Jan 06, 2012 8:40 am

Is there a main deliver of this data?

How do the broker infers this data? Is it based in what?

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Tantalus
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#6 Postby Tantalus » Fri Jan 06, 2012 3:50 pm

There is no 'main deliverer' of this info, but there are major world banks and exchanges that trade currencies and they report their versions of currency pair prices to those who place trades through them. Retail brokers subscribe to one or more of these exchanges and then pass the price information on to their clients (such as you and me).

So, each exchange has their own version of prices based on the trades that go through their own company, and there are variations in the quotes given by these various exchanges. Then, when a retail broker gets data (it may compile data from more than one exchanger if it subscribes to more than one) which it usually will filter and adjust for various reasons before it is sent on to you and me. This means that no two retail brokers will ever have exactly the same price quotes, though arbitrage usually keeps the variation to a minimum.

If this concerns you, make sure that you do your testing on data from the broker you plan to use. Or you can use strategies that work on longer time frames so that the differences are very small relative to the overall data. The worst effect of these variations is when you are trading using very short time frames.
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