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Looking for aggregated Forex tick data in Matlab

(Last Updated On: May 10, 2011)

Looking for aggregated Forex tick data in Matlab

Data vendors, please spam me with aggregated Forex tick data offers dating back a few years (filtered or unfiltered)

Level2 isn’t needed.


Hi, try ratedata.gaincapital.com data requires some cleanup/filtering but available for G-7 major pairs and crosses back to Y2K. Spreads are retail market-maker spreads. Some chunks are missing before 2003 for some major pairs. By the way you will notice that after some point (I believe it is by 2004/05) they moved from storing even consecutive quotes to removing such cases and storing just consecutive different quotes. I suggest you to remove consecutive even quotes once you load the data into your database before scrubbing it as it will affect tick frequencies.

We are about to publish a paper based on this dataset on the volatility effects of macroeconomic data releases on high frequency exchange rates based on this dataset. Will post the link once available.

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y this. I have not checked the quality but apparently 1m data back to 2001. http://www.jeremywhittaker.com/2010/12/28/setting-up-metatrader-for-better-backtesting-quality/

http://www.dukascopy.com/swiss/english/data_feed/historical/

Dukaskopy is good but the matlab script i created to download the data is ‘blocked’ after it pulls the first chunk.i suspect they block bulk downloads. Or it may be a problem with my connection. Does anyone know how to pull years of data from them?

For the sake of simplicity I ended up buying currency futures data from TickData. Not ideal if you’re going to do a very fast retail breaker type of code but it works well if you want to research and map out price action on MatLab.

i cannot see FX data on TickData website. do they sell it?

I was talking about CSV downloads from Dukascopy. The Historical Data Feed is different.

heck this web page out too http://www.forexrate.co.uk/forexhistoricaldata.php

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