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A O'Gorman said "Most testing we do is on equities and futures contracts
that are exchange
traded and as such have universally accepted open, high, low, close
numbers. Backtesting Forex markets is much more difficult for two
reasons a. conventions as to when exactly a currency cross opens and b.
available sources of forex data.
Does anyone have any opinions on the either of these points or perhaps
could anyone point me in the direction of sources of historical forex
data?"
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I've been following the FX cash markets for a number of years and I've found
Tradestation with Telerate data to be up to the mark. This data is provided
on a contribution basis mostly by banks around the world so therefore it's
purely indicative. For dealt rates you can get hold of the real dealt FX
prices from Reuters (dealt prices sourced from the 2000/1 system) or
similarly from EBS you should be able to get hold of their dealt prices.
As to the question of where exactly a currency cross opens well as these
markets are running right through 24 hours there is no such thing as an open
or close so it's up to the user if he/she wishes to use data relevant to a
particular trading zone. For instance, even though the market in London is
always well under way by 08:00 London time, I have always used that time to
begin my European point & figure update because by that time the market is
always liquid but really it's completely up to the user to format his/her
data to suit their timeframe so that it can be useful for their trading .
Hope this helps,
Regards,
Tom Nagle
Tom Nagle
Tullett & Tokyo Forex International,
Cable House,
54-62 New Broad Street,
London EC2M 1JJ.
Tel: +44 171 827 3409
www.tullett.com
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