Number of ticks per second

Hi guys,

I was looking at historical tick data downloaded from histdata.com (for AUDUSD)

20090506 212903000 0.7472 0.7467
20090506 212910000 0.7471 0.7467
20090506 212950000 0.7472 0.7467
20090506 212953000 0.7474 0.7469
20090506 212954000 0.7475 0.7471
20090506 212955000 0.7475 0.747

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.

Hi mate,
My understanding was it’s TICK DATA
Meaning PER TICK
Meaning EVERY TICK IS RECORDED

now, i guess we have a few things to consider here

  1. What other options do we have… Really (beggers can’t be choosers … right)
  2. i suppose we could ask the providers of the tick data to explain it

i think we are basically stuck with what they provide us
and we just have to work with it
it’s frustrating huh

1 Like

Martin, I PROMISE I don’t 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? That’s not an unfair comment, is it? :wink:

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, doesn’t it, if you think about it? There’s no centralised exchange for spot forex, so there isn’t really any reliable tick information, nor any way of collating it.

Basically, there’s no such thing as “real” 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 they’ve gathered it (liquidity providers, etc.), in the hope that it’s “representative of the wider market”, so as you can see, two different sources’ spot data are only going to coincide exactly if they’ve collated it from exactly the same liquidity providers, etc.

For what you’re looking at, Australian Dollar futures tick data will be far more reliable (and the front month’s correlation with spot “should be” pretty close to 100%). Whether that would be helpful to you is a different matter, but one can’t comment further on that without knowing exactly what you’re using it for.

3 Likes

Ok, Fair enough
i understand you are not being rude or aggressive.

I was giving my opinion and Understanding of Tick Data
you then said…

How is this outside of my experience.
My opinion and Understanding is my opinion and understanding… right.

Tick Data is Tick Data
the way i was always taught was , that Tick Data is just that, on a PER TICK Basis.

Have i missed something ?

I think so, Martin.

I think you missed the rather key point that the interbank market itself, by definition, doesn’t 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 you’ll excuse my saying so, it’s the essential concept that actually answers Haitao’s question, and addresses his purpose in posting, which was to find out whether discrepancies are usual. The clue is in his words “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”.

The answers to what he asked, there, are “Yes, it is, and often a very small one”, and “Yes, they do.”

Maybe I “missed something” 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, that’s still my guess, now.

Yet again, Martin, nobody’s 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 isn’t obligatory to post in every thread in which advice is sought, you know? Please forgive my mentioning it yet again, but to be fair it’s an issue that seems to crop up, here, several times daily. :wink:

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 ‘reality’. If not, I might want to train my model based on live data, instead of historical data.

1 Like

@Laughing Charlie
i can respect your comment and i don’t 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 Data…
I’ve done testing on and off using Forex Tester 2, My understanding what that the “SAMPLES” that were taken are from Tick Data (on a Per Tick Basis) and then higher time frames are derived from the tick data.

I don’t 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, THAT’S 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 it’s 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.

that’s 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 this…

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 won’t be offended
THIS IS FINE

I just don’t like Attacks or rudeness or people bringing up family members when it’s not relevant.

but this is ok
so… you don’t need to tread carefully with me,
Just keep speaking to me like this and BE FRANK ( I prefer honesty) and i’ll do what i can to rectify things that i am inadvertedly doing wrong

thank you
Be Cool

Makes sense! That does exist.

All that information comes ultimately from the same source (there’s only one exchange), so in theory it “ought” to be identical, wherever you actually get hold of it from.