Deep Posts Reader Questions Answered

Where can I get intraday forex data?

Here’s another question (or rather pair of questions) about forex data.

I am in need of some advice of FX data feeds.

1) I am looking for a free or cheap real time forex data feed I can use for my analytics. I don’t care how far back it goes, it simply needs to be real time. What do you suggest?

2) Historical intra-day forex data. Back to ’99 for the Eur/Usd and greater for other majors. What do you suggest?

Real-time data in any market often comes with a fair cost, though if you’re not classified as a professional it’s usually considerably cheaper. Forex is generally a bit different, though, given the lack of a central exchange (and thus data source). In the currency market the data is generally either strictly a broker feed or some kind of aggregate of them.

The cheapest way to get a live feed is most likely going to be through a broker. A lot of them have APIs or DDE functionality. Some charge, some don’t.

As for historical intraday data, Duksacopy (I think I spelled that right) used to offer free intraday data. Not sure if they still do or not. There are loads of other sources out there, though most charge for it. Just do a Google search and you’ll find many of them.

Be very cautious here, though. Data from one source may not match data from another, and in a meaningful fashion. I once did some back-testing using intraday data, but when I went to apply the system in question on a real-time basis the results were different. It ended up that the volatility of the data in the historical series didn’t match the volatility in my broker’s actual pricing. The historical period ranges (hourly) were in some cases considerably wider than those my broker had quoted.

In other words, I would not have been able to trade the prices my system was tested on. That’s a HUGE problem, and one any system tester needs to account for in their analysis. The optimal solution is to use data from the same broker with which the trading will be done to ensure consistency.

By John

Author of The Essentials of Trading

2 replies on “Where can I get intraday forex data?”

Good points.

It appears you might have been backtesting on a dataset called “Indicative” which just refers to many many sourcescombining to the quote. It is unrealistic becasue an individual or institution for that matter wouldn’t have a credit line with all of them. Indicative datasets also are “fatter” and wider than would otherwise be the case in real trading. You should try these people

They offer a host of different datasets, tick, interval, best bid/offer so you can really drill down your research. Plus supplemental cost of carry rate data which can be the real hidden cost of trading for overnight positions. Just my 2 cents.

Wish you the best trading.

Regards – David

David – All good points. I would make one correction, though. By definition, when you’re talkings spot forex prices it’s all “indicative”. The only actual “traded” price data comes from the exchange for futures. Also, indicative doesn’t have anything to do with how many contributors there are to a price feed. The term I think you were looking for there was “aggregated”.

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