Hi everyone. I’m new to Forex, but skilled at programming computers. I recently wrote a shell script to scrape real-time currency data from an html page and log it to a file. I’m planning to “record” data like this for a while now, to set up some automated trading stratigies and observe their performance. What I’m really hoping to do is use a Genetic Programming (GP) system and conduct tournaments to find the best perfoming strategy. I was wondering if this is feasible, and at what granularity of time I should record and how I should record the data. What I’m actually recording right now is the bid/ask price on some major pairs every five seconds, but I think I could go as low as every one second. Which is best for collecting data and how many months of data should I collect? Should I collect any other information, and are there any better ways of getting data?
First MT4 software has the software that you are looking for. But you have to know turob c++.
Second do not go down to the second there is too much noise. I suggest you dont go below 15 min.
If he’s trying to build his own period open/hi/low/close data, then he’ll need to use essentially each tick. That said, one can potentially get away with not having the exact points. It depends on the timeframes and approaches used.
The other thing I would toss in here is the need for clean data. If the base data is prone to bad ticks, then a tick cleaning method needs to be built in.
So is a tick essentially every second? What causes noise at time frames below 15 minutes? And what are bad ticks? I’ve always heard that there is noise in the financial markets, but I really don’t “get it” yet…