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Yukoner
Joined: 13 Jan 2007
Posts: 6
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 Posted: Sat Jan 13, 2007 12:27 am Post subject: OANDA DATA |
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Hi guys,
I received tick data from Oanda that gives me eur/usd from 2004 onwards. It appears to be in .txt format. Now when i try to import the data to forextester i run into errors. The file is huge when unzipped, but as i understand it is very, very accurate.
I'm not a programmer, so any help would be appreciated... but would need to be step by step please.
For the record I really like Forextester. It has helped me immensely in my testing, and because of that my real time trading results have also improved. You visually test 500 trades, and taking one for real isn't that big of a deal.
Thanks,
Jeff Wagner |
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Terranin
Site Admin
Joined: 21 Oct 2006
Posts: 831
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| Posted: Sat Jan 13, 2007 2:31 am Post subject: Re: OANDA DATA |
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| Yukoner wrote: | Hi guys,
I received tick data from Oanda that gives me eur/usd from 2004 onwards. It appears to be in .txt format. Now when i try to import the data to forextester i run into errors. The file is huge when unzipped, but as i understand it is very, very accurate.
I'm not a programmer, so any help would be appreciated... but would need to be step by step please.
For the record I really like Forextester. It has helped me immensely in my testing, and because of that my real time trading results have also improved. You visually test 500 trades, and taking one for real isn't that big of a deal.
Thanks,
Jeff Wagner |
Can you send us this file or part of it that we can test error?
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Hasta la vista
Mike |
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Yukoner
Joined: 13 Jan 2007
Posts: 6
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| Posted: Mon Jan 15, 2007 4:16 pm Post subject: You should have it now. |
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Sent it over the weekend.
Jeff |
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Trillion
Joined: 21 Jan 2007
Posts: 24
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| Posted: Sun Jan 21, 2007 1:40 am Post subject: OANDA tick data |
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I use OANDA data too. You can specify how you would like the tick data file delimited (txt, csv, pipe-delimited or XML). I have mine in .csv format but OANDA have not used a comma to separate the date column from the tick data. Thus, each line of data looks like this (Date, Time, Tick Value 1, Tick Value 2):-
01/01/04 07:43:00,1.258700,1.259700
01/01/04 07:47:52,1.258500,1.259500
01/01/04 17:46:14,1.258600,1.259600
01/01/04 17:56:08,1.258500,1.259500
01/01/04 17:56:15,1.258500,1.259500
01/01/04 17:56:28,1.258500,1.259500
01/01/04 17:56:30,1.258500,1.259500
01/01/04 17:56:40,1.258500,1.259500
01/01/04 17:57:35,1.258500,1.259500
Using the <import history> function in Forex Tester, how is it possible to import this data file? |
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Terranin
Site Admin
Joined: 21 Oct 2006
Posts: 831
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| Posted: Tue Jan 23, 2007 1:17 am Post subject: Re: OANDA tick data |
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| Trillion wrote: | I use OANDA data too. You can specify how you would like the tick data file delimited (txt, csv, pipe-delimited or XML). I have mine in .csv format but OANDA have not used a comma to separate the date column from the tick data. Thus, each line of data looks like this (Date, Time, Tick Value 1, Tick Value 2):-
01/01/04 07:43:00,1.258700,1.259700
01/01/04 07:47:52,1.258500,1.259500
01/01/04 17:46:14,1.258600,1.259600
01/01/04 17:56:08,1.258500,1.259500
01/01/04 17:56:15,1.258500,1.259500
01/01/04 17:56:28,1.258500,1.259500
01/01/04 17:56:30,1.258500,1.259500
01/01/04 17:56:40,1.258500,1.259500
01/01/04 17:57:35,1.258500,1.259500
Using the <import history> function in Forex Tester, how is it possible to import this data file? |
You can not load this data directly to ForexTester. It must be converted first into 1 minute data.
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Hasta la vista
Mike |
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Yukoner
Joined: 13 Jan 2007
Posts: 6
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| Posted: Tue Jan 23, 2007 4:18 am Post subject: Converting Oanda data to 1min bars |
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Mike,
Could you give us the steps on how to do that, or is there a link on the site how to do that.
Thanks,
Jeff |
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Trillion
Joined: 21 Jan 2007
Posts: 24
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| Posted: Tue Jan 23, 2007 10:27 pm Post subject: |
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| Is 1 minute data the smallest granularity that Forex Tester can handle? |
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Trillion
Joined: 21 Jan 2007
Posts: 24
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| Posted: Tue Jan 23, 2007 10:30 pm Post subject: Re: OANDA tick data |
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| Terranin wrote: | | Trillion wrote: | I use OANDA data too. You can specify how you would like the tick data file delimited (txt, csv, pipe-delimited or XML). I have mine in .csv format but OANDA have not used a comma to separate the date column from the tick data. Thus, each line of data looks like this (Date, Time, Tick Value 1, Tick Value 2):-
01/01/04 07:43:00,1.258700,1.259700
01/01/04 07:47:52,1.258500,1.259500
01/01/04 17:46:14,1.258600,1.259600
01/01/04 17:56:08,1.258500,1.259500
01/01/04 17:56:15,1.258500,1.259500
01/01/04 17:56:28,1.258500,1.259500
01/01/04 17:56:30,1.258500,1.259500
01/01/04 17:56:40,1.258500,1.259500
01/01/04 17:57:35,1.258500,1.259500
Using the <import history> function in Forex Tester, how is it possible to import this data file? |
You can not load this data directly to ForexTester. It must be converted first into 1 minute data. |
How do you suggest that I go about this? |
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Terranin
Site Admin
Joined: 21 Oct 2006
Posts: 831
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| Posted: Tue Jan 23, 2007 10:39 pm Post subject: Re: Converting Oanda data to 1min bars |
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| Yukoner wrote: | Mike,
Could you give us the steps on how to do that, or is there a link on the site how to do that.
Thanks,
Jeff |
There is no link. Somebody should program a converter, possible me when I have some free time.
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Hasta la vista
Mike |
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Terranin
Site Admin
Joined: 21 Oct 2006
Posts: 831
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| Posted: Tue Jan 23, 2007 10:41 pm Post subject: |
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| Trillion wrote: | | Is 1 minute data the smallest granularity that Forex Tester can handle? |
This is the smallest granularity to import, but when you generate ticks they will be created inside 1 minute bars by 3 different methods you can choose.
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Hasta la vista
Mike |
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Trillion
Joined: 21 Jan 2007
Posts: 24
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| Posted: Tue Jan 23, 2007 11:40 pm Post subject: |
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Given that Forex Tester limits price data to 1 minute granularity, how can the software accurately generate exact tick prices as seen by the market?
Well, after reading the help file and specifically the sub section relating to tick data, 'Generate tick data', I see that Forex Tester does not accurately draw tick data at all! Instead, the methods described only mimic the OHLC price, generating ticks either point by point, as OHLC price values or randomly! This is a real pity ...
Do you not think it would be better to cater for proper tick data in the first instance? |
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Trillion
Joined: 21 Jan 2007
Posts: 24
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| Posted: Tue Jan 23, 2007 11:48 pm Post subject: |
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| Don't get me wrong, I'm not saying that the 3 methods don't have a use just that given pure tick data, Forex Tester ought to be able to backtest strategies from each tick in the file and also be able to build complete bars of any time frame from the data. Do you think this is a good idea? |
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Terranin
Site Admin
Joined: 21 Oct 2006
Posts: 831
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| Posted: Wed Jan 24, 2007 12:05 am Post subject: |
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| Trillion wrote: | | Don't get me wrong, I'm not saying that the 3 methods don't have a use just that given pure tick data, Forex Tester ought to be able to backtest strategies from each tick in the file and also be able to build complete bars of any time frame from the data. Do you think this is a good idea? |
For the most testing purposes it is more than enough. Most traders use 1 hour timeframe at least, only pipsers try to work with every tick to get 1-5 pips in every transaction but my experience tells me that brokers fight with those people, force them to use not market but pending orders. Make delays in order execution on the fast price movement or use requotes. So I really do not see any value to use exact ticks data, 1 minute is enough.
But if you want to test as precisely, you can replace ticks arrays generated by program at "\data\Ticks\" folder with your own. Then it will be exactly the same ticks. Still data converter is required.
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Hasta la vista
Mike |
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Trillion
Joined: 21 Jan 2007
Posts: 24
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| Posted: Wed Jan 24, 2007 12:37 am Post subject: |
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Let say I want to use a strategy which involves buying or selling above or below the previous bar's OHLC. In real-time, the price moves up and I go long above the high of the last bar and set my stop and reverse accordingly. Using the methods employed by Forex Tester to generate ticks, on playback I may well find myself short rather than long which would not accurately portray the situation as it developed, leading to inaccurate backtesting results.
However, if Forex Tester can work accurately with tick data which is substituted then, wonderful! One thing though ... isn't the actual tick progression lost in conversion? |
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Terranin
Site Admin
Joined: 21 Oct 2006
Posts: 831
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| Posted: Wed Jan 24, 2007 1:22 am Post subject: |
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| Trillion wrote: | Let say I want to use a strategy which involves buying or selling above or below the previous bar's OHLC. In real-time, the price moves up and I go long above the high of the last bar and set my stop and reverse accordingly. Using the methods employed by Forex Tester to generate ticks, on playback I may well find myself short rather than long which would not accurately portray the situation as it developed, leading to inaccurate backtesting results.
However, if Forex Tester can work accurately with tick data which is substituted then, wonderful! One thing though ... isn't the actual tick progression lost in conversion? |
Do you play on 1 minute bars? Only in this case that could happen. (possible) Because to generate ticks Forex Tester use 1 minute data, so in 1 hour bar it will be 60x4 ticks generated with OHLC method. Or much more if you generate ticks point by point. And mostly 1 minute bar is small < 10 points so difference between 2 ticks is about 3-4 points.
What does it mean "actual progression"? You will get absolutely the same ticks you published before. But I have to write converter first.
I wrote this software for myself first, to test automated systems on it, and I am fully satisfied with the quality of results. After testing my systems on Forex Tester I translated them to Meta Trader and tested on demo account, and I got the same results.
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Hasta la vista
Mike |
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