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It is difficult to get historical intraday forex cash data. I have been able to find only two sources: Olsen & Associates (www.olsen.ch) and CQG. I found Olsen data to be very expensive so I choose CQG.
One word of warning: forex data is bid/ask pairs. You must make sure that when the data vendor prepares OHLC pairs for your time frame, they use bid-only or ask-only tick data. Otherwise the high prices will be the offers and the low prices will be the bids. Needless to say this mixing of bids/asks is very damaging for analysis. One way to make sure is to get the tick data and do the OHLC pairs yourself.
Regards,
Naim Abdullah
ABN AMRO Bank N.V.
Pakistan
Email: naim@xxxxxxxxxxxxxx
-----Original Message-----
From: aogorman@xxxxxxxxx [SMTP:aogorman@xxxxxxxxx]
Sent: Tuesday, March 31, 1998 8:50 PM
To: realtraders@xxxxxxxxxxxxxx; omega-list@xxxxxxxxxx
Subject: DATA: FX cash data
Hi All,
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?
Kind Regards,
Aongus O' Gorman
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