The above shows that from 21:29:03 to 21:29:55, there were only 5 price moves within 52 seconds? Does it make sense? Basically I wanted to know if historical data was a subset of the real tick data or different providers have different tick data for the past. Thank you.
Martin, I PROMISE I donât mean it rudely or aggressively, but do you actually know about this subject???
I ask only because many of us who post here strongly suspect that your warm and friendly enthusiasm for trying to help people seems rather habitually to lead to situations in which you offer opinions on subjects rather outside your experience, you know? Thatâs not an unfair comment, is it?
For spot forex (as opposed to for forex futures) different providers invariably have different historical tick data.
Sometimes very different; sometimes slightly different.
It has to be that way, doesnât it, if you think about it? Thereâs no centralised exchange for spot forex, so there isnât really any reliable tick information, nor any way of collating it.
Basically, thereâs no such thing as ârealâ tick data for spot: that would require a central exchange and a way of monitoring it.
So anything you can get is a subset, by definition: all that anyone providing historical tick data can ever offer you is effectively a selection from whatever combination of sources theyâve gathered it (liquidity providers, etc.), in the hope that itâs ârepresentative of the wider marketâ, so as you can see, two different sourcesâ spot data are only going to coincide exactly if theyâve collated it from exactly the same liquidity providers, etc.
For what youâre looking at, Australian Dollar futures tick data will be far more reliable (and the front monthâs correlation with spot âshould beâ pretty close to 100%). Whether that would be helpful to you is a different matter, but one canât comment further on that without knowing exactly what youâre using it for.
I think you missed the rather key point that the interbank market itself, by definition, doesnât have any tick data available. And that therefore different suppliers are necessarily basing their tick data off different specimens/samples of the market. And that therefore some discrepancies are universal.
If youâll excuse my saying so, itâs the essential concept that actually answers Haitaoâs question, and addresses his purpose in posting, which was to find out whether discrepancies are usual. The clue is in his words âI wanted to know if historical data was a subset of the real tick data or different providers have different tick data for the pastâ.
The answers to what he asked, there, are âYes, it is, and often a very small oneâ, and âYes, they do.â
Maybe I âmissed somethingâ but to my surprise, none of those relevant, question-answering facts was actually apparent to me at all, from reading your post.
So, naturally enough, I therefore wondered whether dealing with historical tick data was actually within your own experience at all.
I guessed not.
And to be honest, thatâs still my guess, now.
Yet again, Martin, nobodyâs questioning or complaining about your intention to be helpful, but when you appear not actually to be familiar with the key facts that answer the question asked, it really isnât obligatory to post in every thread in which advice is sought, you know? Please forgive my mentioning it yet again, but to be fair itâs an issue that seems to crop up, here, several times daily.
For spot forex (as opposed to for forex futures) different providers invariably have different historical tick data.
Sometimes very different; sometimes slightly different.
Thanks Charlie for bringing up this important point. I assume I am studying tick data for forex futures, not for spot forex. (I am not interested in knowing at what prices people exchange their US dollar notes into Aussie dollars at a bank, for example. My understanding might be wrong, as I am fairly new in this). The model I am building is totally dependent on how close the historical data is to ârealityâ. If not, I might want to train my model based on live data, instead of historical data.
@Laughing Charlie
i can respect your comment and i donât take any of it personally.
to address what you said
i agree this was the core of his question and i did understand it.
but. i did say, MY UNDERSTAND IS⌠and then proceeded to give my opinion
Now, me and @Haitao have had a good conversation in the past and i felt obligted to a point to give an opinion.
perhaps my opinion could have helped in some way.
Now. My Experience with Tick DataâŚ
Iâve done testing on and off using Forex Tester 2, My understanding what that the âSAMPLESâ that were taken are from Tick Data (on a Per Tick Basis) and then higher time frames are derived from the tick data.
I donât do so much Tick Data testing anymore these days because what i use works and to be honest i test indies from time to time, but my method of trading is working for me.
the only time i would get back into Testing Tick Data is if i decided to incorporate a new instrument into my trading.
so yes, my information may be a around 2 years dated approx.
but again,
my theory was if i contributed it might help.
now⌠(i have taken no offense to your comments, THATâS ALL GOOD)
but it would seem that perhaps i need to re think whether i should or not post , the next time a post arises
HONESTLY,
I understand if someone has the answer, then post it
but
i also honestly thought that itâs not really harmful to put forward an opinion because doing so MAY result in the O.P. having a lightbulb moment and coming to the answer.
thatâs all i was getting at.
Now⌠what?? , You believe maybe i should not, is that correct?
Feel free to tell me honestly
and also let me say thisâŚ
The way we are talking right now, is perfect, I have no issue with you if we talk like this.
if we continue like this, Mate, we will never have an issue and i will never get offended, you can say what you want, I wonât be offended
THIS IS FINE
I just donât like Attacks or rudeness or people bringing up family members when itâs not relevant.
but this is ok
so⌠you donât need to tread carefully with me,
Just keep speaking to me like this and BE FRANK ( I prefer honesty) and iâll do what i can to rectify things that i am inadvertedly doing wrong
All that information comes ultimately from the same source (thereâs only one exchange), so in theory it âoughtâ to be identical, wherever you actually get hold of it from.