What are pips, ticks, and points in Forex and futures ...

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Is forex tick data streamed from one broker enough to gauge an approximation of the "real volume"?

Forex is decentralized so it's very hard to gauge the real volume of the pairs. I can't imagine streaming tick data from multiple major forex brokers to aggregate their data just to determine the volume. It'd be too much work for an individual trader like me, and too much work for my computer, too.
So I was instead thinking of using the tick data streamed from the one broker that I'm using to derive approximate volume, which I hope will be close enough to the actual volume.
I thought of a few ways to use the tick data streamed from my broker's MT4:
A. calculate the sum of the number of ticks from a given time window (ex: number of ticks from the last 30 seconds)
B. calculate the sum of the "Volume" values of the ticks from a given time window (in this case, the "Volume" means MQL4's built-in variable Volume, not the actual volume)
And then do some further calculations, such as generating moving averages on A or B.
One possible problem that will probably degrade the quality of the above calculations would be that MT4's EA can drop newer ticks if the previous onTick() event is still running when the newer ticks arrive.
I am not using any live data yet. Currently, I'm only using historical tick data downloaded from truefx.com and histdata.com to do my back tests; both websites' tick data seem to be good enough for me.
Has anyone used tick volume from a single data source to derive approximate volume with acceptable level of accuracy successfully? How reliable is my method of gauging forex volume?
submitted by twistedmush to algotrading [link] [comments]

Releasing a Decade of Forex Tick Data I Crawled and Converted

Releasing a Decade of Forex Tick Data I Crawled and Converted

Intro:

In my exploration of the world of big data and I became curious about tick data. Unfortunately, market data is almost always behind a paywall or de-sampled to the point of uselessness. After discovering the Dukascopy API, I knew I wanted to make this data available for all in a more accessible format. Over the course of a few months, I downloaded, cleaned, parsed, and compressed over a decade of Forex tick data on 37 currency pairs and commodities. Today I am happy to finally release the final result of my work to the DataHoarder community!

Download Links:

Warning: I have rented a seedbox for the next 3 months from seedbox.io but I have been having some issues. If you have any issues with the torrent please leave a comment. Also, PLEASE SEED when you are done. This is quite a large data set and I can only push so much data on my own.
Torrent File: https://drive.google.com/file/d/18ymZWeFLJK7FggK_iiWZ-TxgWIVdJVvv/view?usp=sharingCompanion Blog Post: https://www.driftinginrecursion.com/post/dukascopy_opensource_data/

Stats Overview:

Totals Quantities
Total Files 463
Total Line Count 8,495,770,706
Total Data Points 33,983,082,824
Total Decompressed Size 501 GB
Total Compressed Size 61 GB

About the Data:

The data was collected from https://www.dukascopy.com/ via a public API that allows for the download of tick data on the hour level. These files come in the form of a .bi5 file. The data starts as early as 2004 all the way to 2019.
These files were decompressed, then merged into yearly CSV’s named in the following convention. “AUDCHF_tick_UTC+0_00_2011.csv” or ‘Pair_Resolution_Timezone_Year.csv’
These CSV’s are split into 3 categories “Majors”, “Crosses”, “Commodities”.
Majors, Crosses, and Commodities have had their timestamps modified so that they are in the official UTC ISO standard. This was originally done for a Postgresql database that quickly became obsolesced. Any files that have been modified are appended with a “-Parse”. These timestamps have been modified in the following format.
Millisecond timestamps to UTC +00:00 time [2017.01.01 22:37:08.014] -- [2017-01-01T22:37:08.014+00:00]
https://preview.redd.it/x6g277skfiu51.png?width=1399&format=png&auto=webp&s=35cd6735c1826424580919ac3377612377a3107c

User Resources:

For those looking to use this data in a live context or update it frequently, I have included a number of tools for both Windows and Linux that will be useful.

Windows

The ~/dukascopy/resources/windows folder contains a third party tool written in java that can download and convert Dukascopy’s .bi5 files. I have also included the latest zstd binaries from Zstandard Github page.

Linux

Linux is my daily driver in 99% of cases, so I have developed all my scraping tools using Linux only tools. In the ~/dukascopy/resources/linux folder you will find a number of shell script and pyhton3 files that I used to collect this data. There are quite a few files in this directory but I will cover the core ones below.

download-day.py:

This file is used to download a single symbol for a single day and then convert and merge all 24 .bi5 files into a single CSV.

download-year.py

This file is used to download a single symbol for a full year and then convert and merge all .bi5 files into a single CSV.

dukascopy.py

This file contains all the core logic for downloading and converting data from dukascopy.

utc-timestamp-convert.py

This tad slow but works well enough. It requires the pandas project and parses timestamps into the UTC ISO standard. This is useful for those looking to maintain the format of new files with the those in this repo, or those looking to use this in a SQL database.
submitted by jtimperio to DataHoarder [link] [comments]

Releasing a Decade of Forex Tick Data I Crawled and Converted

submitted by jtimperio to datasets [link] [comments]

Is forex tick data streamed from one broker enough to gauge an approximation of the "real volume"?

Forex is decentralized so it's very hard to gauge the real volume of the pairs. I can't imagine streaming tick data from multiple major forex brokers to aggregate their data just to determine the volume. It'd be too much work for an individual trader like me, and too much work for my computer, too.
So I was instead thinking of using the tick data streamed from the one broker that I'm using to derive approximate volume, which I hope will be close enough to the actual volume.
I thought of a few ways to use the tick data streamed from my broker's MT4:
A. calculate the sum of the number of ticks from a given time window (ex: number of ticks from the last 30 seconds)
B. calculate the sum of the "Volume" values of the ticks from a given time window (in this case, the "Volume" means the MQL4's built-in variable Volume, not the actual volume)
And then do some further calculations, such as generating moving averages on A or B.
One possible problem that will probably degrade the quality of the above calculations would be that MT4's EA can drop newer ticks if the previous onTick() event is still running when the newer ticks arrive.
I am not using any live data yet. Currently, I'm only using historical tick data downloaded from truefx.com and histdata.com to do my back tests; both websites' tick data seem to be good enough for me.
Has anyone used tick volume from a single data source to derive approximate volume with acceptable level of accuracy successfully? How reliable is my method of gauging forex volume?
submitted by twistedmush to Forex [link] [comments]

Is forex tick data streamed from one broker enough to gauge an approximation of the "real volume"?

Forex is decentralized so it's very hard to gauge the real volume of the pairs. I can't imagine streaming tick data from multiple major forex brokers to aggregate their data just to determine the volume. It'd be too much work for an individual trader like me, and too much work for my computer, too.
So I was instead thinking of using the tick data streamed from the one broker that I'm using to derive approximate volume, which I hope will be close enough to the actual volume.
I thought of a few ways to use the tick data streamed from my broker's MT4:
A. calculate the sum of the number of ticks from a given time window (ex: number of ticks from the last 30 seconds)
B. calculate the sum of the "Volume" values of the ticks from a given time window (in this case, the "Volume" means MQL4's built-in variable Volume, not the actual volume)
And then do some further calculations, such as generating moving averages on A or B.
One possible problem that will probably degrade the quality of the above calculations would be that MT4's EA can drop newer ticks if the previous onTick() event is still running when the newer ticks arrive.
I am not using any live data yet. Currently, I'm only using historical tick data downloaded from truefx.com and histdata.com to do my back tests; both websites' tick data seem to be good enough for me.
Has anyone used tick volume from a single data source to derive approximate volume with acceptable level of accuracy successfully? How reliable is my method of gauging forex volume?
submitted by twistedmush to quant [link] [comments]

Is forex tick data streamed from one broker enough to gauge an approximation of the "real volume"?

submitted by StockThotz to StonkFeed [link] [comments]

Is forex tick data streamed from one broker enough to gauge an approximation of the "real volume"?

Forex is decentralized so it's very hard to gauge the real volume of the pairs. I can't imagine streaming tick data from multiple major forex brokers to aggregate their data just to determine the volume. It'd be too much work for an individual trader like me, and too much work for my computer, too.
So I was instead thinking of using the tick data streamed from the one broker that I'm using to derive approximate volume, which I hope will be close enough to the actual volume.
I thought of a few ways to use the tick data streamed from my broker's MT4:
A. calculate the sum of the number of ticks from a given time window (ex: number of ticks from the last 30 seconds)
B. calculate the sum of the "Volume" values of the ticks from a given time window (in this case, the "Volume" means MQL4's built-in variable Volume, not the actual volume)
And then do some further calculations, such as generating moving averages on A or B.
One possible problem that will probably degrade the quality of the above calculations would be that MT4's EA can drop newer ticks if the previous onTick() event is still running when the newer ticks arrive.
I am not using any live data yet. Currently, I'm only using historical tick data downloaded from truefx.com and histdata.com to do my back tests; both websites' tick data seem to be good enough for me.
Has anyone used tick volume from a single data source to derive approximate volume with acceptable level of accuracy successfully? How reliable is my method of gauging forex volume?
submitted by twistedmush to Daytrading [link] [comments]

Where to find quality Forex tick data?

I downloaded EURUSD tick datasets for several years back from Dukascopy and found out that the data is trash. Many missing periods, sudden inexplicable jumps from one hour to 2 hours in the future etc. There's no way for me to fix this, the quality is simply trash.
Where can I find quality Forex tick historical datasets? I found a few sources googling around, but it takes a fuck ton of time to download it and check, it's even riskier if I have to buy it. Does anyone have any proved sources?
submitted by anon4357 to algotrading [link] [comments]

Forex Tick Data

Hello, I've been using tickstory to optimize my EA for the past couple months. It works well, but it takes a long time to do because it's the lite version. Does anyone know where I can get free downloadable tick data? Highest quality as possible please.
submitted by Isollated to Forex [link] [comments]

Looking for high quality historical forex tick data with volume...

I'm writing an automated forex trading system and need high-quality data in order to test. I need tick data for the major pairs that include tick volume. I've found several sites that provide this service but they either don't have tick volume or are based on 1-minute bars.
Any help is appreciated.
submitted by Dadsaster to Forex [link] [comments]

Can powershell be used to divide a csv file of an entire month of forex tick data into smaller files of 30 minutes interval?

The format for the tick data is like this:
Date/Time Price
2018/08/01 00:00:00.070 111.832
2018/08/01 00:00:00.078 111.831
Is there any way to split a large csv file containing an entire month of price data into smaller files containing 30 minutes of price data?
submitted by Ifffrt to PowerShell [link] [comments]

Another Free Forex Tick Data Option

Here’s another option for free tick data now available from FXCM https://github.com/FXCMAPI/FXCMTickData. The tick data goes back to January 2015 and is available for the top 21 currency pairs.
submitted by RobPasche_FXCM to algotrading [link] [comments]

Downloading historical Forex tick data and importing them in to Python using Pandas

Downloading historical Forex tick data and importing them in to Python using Pandas submitted by jonromero to Python [link] [comments]

My third post: Downloading historical Forex tick data and importing them in to Python using Pandas

submitted by jonromero to algotrading [link] [comments]

Downloading historical Forex tick data and importing them into Python using Pandas

submitted by jonromero to programming [link] [comments]

Historical + live Forex tick data

I'm looking for a source of both historical and live tick data. IqFeed and KineTick both offer 120 days of historical forex tick data (FXCM) as well as live for ~$100/month.
Are there any other options that have a better price or deeper historical database?
submitted by videoj to Forex [link] [comments]

[Developer] Investing using Python: 15 years of forex tick data to MongoDB using Python. Part One

[Developer] Investing using Python: 15 years of forex tick data to MongoDB using Python. Part One submitted by newsbeard to Newsbeard [link] [comments]

Synthetic tick volume is very useful (for forex).

That is a list of my humble newbie opinions from my recent discoveries. Feedbacks, suggestions and advice will be highly appreciated.
submitted by twistedmush to algotrading [link] [comments]

Synthetic tick volume is very useful (for forex).

submitted by StockThotz to StonkFeed [link] [comments]

A review of data/APIs for newcomers

I was thinking that we should have a better reference to acquiring data than what is currently on the sidebar.
Here are a few links I have collected that I think will be helpful to others. Please post your own links and mention your experiences with these data providers.
On acquiring data:
On APIs:
submitted by jvrssc to algotrading [link] [comments]

How to add volume/tick study to forex

Anyone have a suggestion? I want to keep my charts in time scales and not tick, but I would like a study at the bottom or indicator showing me the cumulative ticks for a given time period. Any ideas? Like a volume of sorts, although I know forex doesn’t have a true volume, there is a tick count.
submitted by explodingwombat to thinkorswim [link] [comments]

Dukascopy/Tickstory forex volume data is not trading volume

Getting Dukascopy / Tickstory forex data (I think the most famous free source of forex tick data), I noticed that the tick data csv has "bid volume" and "ask volume" columns.
Getting bar data for them, the "volume" column is just the sum of the "bid volume" of all ticks in the bar.

The way I understand the tick data, "bid volume" and "ask volume" are not real trading volumes, but rather the quantities in the top level of the order book (highest bid and lowest ask). If this is true, the "volume" data column in the bar data is very misleading, and this very famous and widely used data source does not contain 1) actual trading prices 2) trading volume.
Am I missing something? Dukascopy data can be obtained here: https://www.dukascopy.com/plugins/fxMarketWatch/?historical_data
submitted by cruvadom to algotrading [link] [comments]

7 Forex Trading Tips and Tricks (Become a Better Trader ... FOREX Tick Forex Tester - generating ticks Trading By Forex Ticks Strategy On Binary.Com My 5 best Forex trading tips and tricks - YouTube Forex Tick Builder - Install and First run Top 10 Forex Trading Tips & Tricks for 2020 - YouTube

Viele Forex Broker haben im Kontakt mit Kunden und Interessenten vorrangig ein Ziel: "Wie kann ich das Geld der Kunden zum Geld des Brokers machen." Und dazu sind die Broker sehr einfallsreich geworden. In diesem Insider-Report gehen wir im Detail auf die hinterlistigen und teilweise sogar klar rechtswidrigen Tricks der Broker ein. Wir wollen verhindern, dass Ihr Kapital durch diese Tricks zum ... Forex-Trading-Tipps: Nutzen Sie den RSI-Indikator, um gute Signale zu erhalten. Ein Beispiel für einen solchen Indikator ist der RSI (Relative Strength Index). Der RSI pendelt auf einer Skala zwischen den Extremwerten 0 und 100. Wichtige Werte sind dabei auch 30 und 70: Sobald der RSI auf unter 30 absinkt, liegt eine überverkaufte Marktsituation vor. Nachdem der Indikator wieder auf über 30 ... What are ticks, pips, and points in Forex and futures trading? Ticks, pips, and points are three of the most important terms for prospective traders to learn and understand. These are the terms that are used to describe price changes in the various financial markets. A tick represents the smallest possible change on the right side of the decimal point. A pip is shorthand for ‘point in ... Learn the differences between points, ticks, and pips and how each is used by investors to measure price changes in stocks, securities, and indexes. Each is unique in the degree of change it ... Wer mit den Finanzmärkten noch nicht vertraut ist, für den scheinen die Worte “Pips”, “Punkte” und “Ticks” aus einer anderen Welt zu stammen. Aber diese Maßeinheiten gibt es nicht ohne Grund. Sie dienen der Bewertung des Risikos / Ertrags und wenn Sie sich an den Finanzmärkten bewegen, so sollten Sie wissen, was diese Begriffe in verschiedenen Zusammenhängen bedeuten. FOREX-Dollar ticks up on stalled stimulus talk; yuan falls after PBOC move. By Hideyuki Sano. 3 Min Read * Graphic: World FX rates in 2020 tmsnrt.rs/2RBWI5E. TOKYO, Oct 12 (Reuters) - The dollar ... 2 ways of generating ticks: randomly by real volume and by Open/High/Low/Close of the bars. The accuracy of Forex trading simulation depends on the method that you select.

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7 Forex Trading Tips and Tricks (Become a Better Trader ...

Estrategia 5 ticks para Forex Binary.com - Duration: 4:38. AvitorBJJ Trader 4,694 views. 4:38. No Loss Tick Random Trading Binary.com - Duration: 3:35. Muhammad Iqbal 27,166 views. 3:35 . Best ... This is the first screencast from Forex Tick Builder software. http://www.icefx.eu How to generate ticks (price changes) in Forex Tester. http://www.tradingsignalsfx.com FOREX market is discrete. It is driven by discrete price changes, called FOREX ticks. My top 10 forex trading tips and tricks for you to crush it in forex trading in 2020. These 10 forex tips are not conclusive and you need to implement these ... https://www.robothousetrading.com/welcome Over the course of the last 2 years I've slowly learned more about what kind of trading works best for me. So, I th... Learn my best trading tips to massively improve your trading results. SUBSCRIBE: https://bit.ly/2MsGjRR If you want more actionable trading tips and strategi...

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