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Nowadays there are many sources of tick data and this guide attempts to cover some (well, most) of the popular providers where you can download free tick data. You may use the navigational links here to jump directly to your preferred provider or you can read the whole article and decide which source is best for you. Before you ask, I favor Dukascopy due to the data quality and accessibility.

Dukascopy

Background

Dukascopy is universally acclaimed as one of the best brokers nowadays. Personally, I’ve never had a live account with them so I cannot confirm or deny that, but many people classify it as “the best ECN broker” and I have yet to read bad things about them. From my point of view, their major drawback is the lack of a MT4 client (it’s possible to run MT4 EAs, but very tricky). However, if you’re looking for a really solid ECN broker and Metatrader expert advisors are not your kind of cookie, look no further. Their JForex client supports extensive automation but you definitely won’t find as many commercial automated trading systems for that as you can find for Metatrader 4.

By far the most popular tick data source, Dukascopy offers free data spanning from 2003 (for most currencies) to now. Despite being offered at no cost, it’s commercial-quality data and it actually approaches the 99% quality displayed in the strategy tests (which, by the way, is just a number in the FXT header). From what I can tell, it is updated hourly and the source is none other than the Dukascopy data feed server. Bottom line is: I couldn’t wish for a better data quality.

Show available currency pairs »

Available currency pairs:

AUDCAD AUDCHF AUDJPY AUDNZD AUDUSD
CADCHF CADJPY CHFJPY EURAUD EURCAD
EURCHF EURGBP EURJPY EURNOK EURSEK
EURUSD GBPAUD GBPCAD GBPCHF GBPJPY
GBPNZD GBPUSD NZDCAD NZDCHF NZDJPY
NZDUSD USDCAD USDCHF USDDKK USDJPY
USDNOK USDSEK USDSGD XAGUSD XAUUSD

Acquiring

The most convenient method to download from Dukascopy is via the Dukascopy historical data page which features a web application that lets you get the tick data for a specific time range (note: this has been changed in the meantime and it only allows downloading one day at a time; this is obviously not a very convenient method anymore). You will be prompted to select the date format – you may choose whatever format you want for the date, the FXT conversion script will be able to autodetect and parse it.

Some other options for downloading are:

  • The Tickstory is a free all-in-one tool that not only downloads the Dukascopy tick data but also processes it into an FXT. If you select this route, you no longer need to go through the CSV2FXT conversion step (you can still export a CSV and do it, though) but please note that I do not provide support for Tickstory and in many cases I cannot provide support if you are using FXT files created by Tickstory with the Tick Data Suite.
  • The StrategyQuant Tick Data Downloader is an application that automates tick data downloading and CSV creation. It’s free and very easy to use.
  • By means of JForex, the Dukascopy client. Please see the Downloading Dukascopy tick data with the JForex client guide for more details.
  • Using my PHP script collection. See the Downloading and parsing the Dukascopy tick data with Birt’s PHP scripts guide.
    Warning: this is for the tech-savvy people that like to be in full control of the tick data process.

No matter which method you use, please take the time to read the “Purpose” and “No warranty by Dukascopy” sections on the Dukascopy tick data page.

Pros & cons

Pros:
– multiple download methods
– extensive time interval coverage
– wide array of available pairs, CFDs and indices
– very good quality
Cons:
– up to November 2010, the data was not top-of-the-order-book, but rather aggregated in 0.5 pip increments
– the data for some pairs (minors & metals) doesn’t go as far back as 2003

Pepperstone and Integral

Background

Pepperstone is an ECN broker founded in 2010, with a solid reputation and a growing client base. I never had an account with them, but I heard good things from many people that have one and I have yet to hear from an unsatisfied client. The tick data they are offering is gathered by their partner Integral, one of the leading liquidity providers. Their data is of high quality, with spreads generally lower than Dukascopy.

The oldest data available is from 2009 and the available range of currency pairs is mostly limited to the majors (there are not many minor currency pairs and no metals). The data does not include the volume.

Show available currency pairs »

Available currency pairs:

AUDJPY AUDNZD AUDUSD CADJPY CHFJPY
EURCHF EURGBP EURJPY EURUSD GBPJPY
GBPUSD NZDUSD USDCAD USDCHF USDJPY

Acquiring

The data can be downloaded at the Pepperstone tick data page or at the TrueFX downloads page, with the latter requiring registration (which is free).

The data is split in files that span one month. To use it, go through the following steps:

  1. Download the months of interest (should be consecutive).
  2. Unpack all the zip files.
  3. Concatenate the files in order. The easiest way to do that is:
    1. Fire up a command prompt (Start->Run->cmd.exe)
    2. Change the directory to where you unpacked the files into (e.g. cd "\Documents and Settings\Administrator\My Documents\Downloads\")
    3. Use the type command (e.g. type EURUSD-2011-01.csv EURUSD-2011-02.csv EURUSD-2011-03.csv EURUSD-2011-04.csv > EURUSD.csv)

If you need more detailed instructions for concatenating files, please use a search engine. As a side note, if you’re using Firefox you might want to get the DownThemAll addon – it can download all the data for the pair(s) you want without too much clicking.

Pros & cons

Pros:
– very good quality
Cons:
– the first available date is 2009
– the data is split into months and the files have to be downloaded individually and manually concatenated (merged)
– the pair name is included for every tick which is a complete waste of space and bandwidth

MB Trading

Background

Another US-based broker, MB Trading provides a wide array of products; when it comes to Forex, ECN services are offered to their clients. Together with the Desktop Pro proprietary trading platform, Metatrader 4 is available but with a lot of peculiarities such as a 10k lotsize, the requirement for a special authentication key, lots of partial fills, no expiration on orders and a daily server restart that takes some 5 minutes at 5 PM US EST. These things aside, their spreads are very good and the commissions are decent as well.

The tick data offered is top-of-the-order-book without volume and it is available for a lot of pairs: the selection box includes all majors and some minors, their count almost rivaling the number of pairs available at Dukascopy. The data is completely free, but unless you already have an account with MB Trading, you are going to have to sign up for a demo account (which is of course also free). The earliest available date is January 2011.

Show available currency pairs »

Available currency pairs:

AUDCAD AUDCHF AUDJPY AUDNZD AUDUSD
CADCHF CADJPY CHFJPY EURAUD EURCAD
EURCHF EURGBP EURJPY EURNOK EURSEK
EURUSD GBPAUD GBPCAD GBPCHF GBPJPY
GBPUSD NZDCAD NZDJPY NZDUSD USDCAD
USDCHF USDDKK USDJPY USDNOK USDSEK

Acquiring

Head to the MB Trading tick history download page. Log in using your account credentials (if you don’t have an account, just open a demo account, it’s free). If you got lost in the registration process, once you log in to your account, the page can be accessed by clicking the Tick history link in the Tools menu.

Once you get to the actual download page, you will have to select the currency pair of your choice then start browsing and enabling each day that you want to download. Note: if you want to actually do something with the data, make sure you’re getting consecutive days, not one random day here and there.

When you’re done selecting each and every day that interests you (quite a lot of clicking if you want all of them), click Download and pray that it actually works. When I tried this, I ran into a nasty problem that would stop the download before it was finished and I had to download each day separately. Hopefully, it was just an issue on my end.

Assuming you did everything I suggested above, you should end up with a file named Tick????.zip. You have to unpack it and inside you will find a bunch more zip archives, one for each day. You also have to unpack those and when that’s done, the last step to do before turning them into an FXT is concatenating them in order (see Pepperstone & Integral above for more info regarding the concatenation).

Pros & cons

Pros:
– very good quality
– wide array of available pairs
Cons:
– the data is available only starting with 2011
– the data is split into days and the files have to be unpacked and manually concatenated (merged)
– downloading the data can be a pain in the ass because you can only download at most 25 days at a time, making the whole process advance very slow
– the pair name is included for every tick which is a complete waste of space and bandwidth
– the download process is quite unfriendly
– concatenating the files for each day can be quite a pain in the ass if you’re doing it for a time period spanning several months

HistData.com

Background

A project by a group of traders that are making the data available for free at their own expense – an initiative that I applaud, there’s no hidden interest whatsoever.

The availability date varies by symbol and goes as far back as 2000 for some majors. However, the data is not very consistent – I downloaded two samples of EURUSD tick data, one from March 2011 and one from January 2012 (the reason being that I needed to figure out the GMT & DST); as it turns out, the March 2011 file has quotes from a market maker broker with 4 digits and a fixed EURUSD spread of 3 pips with a GMT offset of 4 (I think), while the January 2012 file has quotes from what appears to be an ECN broker (possibly MB Trading) with a GMT offset of -5. As such, the CSV2FXT script will prompt you to enter the GMT and DST offset manually.

As a nice bonus feature, the archives include text files that specify all gaps larger than 60 seconds.

Show available currency pairs »

Available currency pairs:

AUDCAD AUDCHF AUDJPY AUDNZD AUDUSD
AUXAUD BCOUSD CADCHF CADJPY CHFJPY
ETXEUR EURAUD EURCAD EURCHF EURCZK
EURDKK EURGBP EURHUF EURJPY EURNOK
EURNZD EURPLN EURSEK EURTRY EURUSD
FRXEUR GBPAUD GBPCAD GBPCHF GBPJPY
GBPNZD GBPUSD GRXEUR HKXHKD JPXJPY
NSXUSD NZDCAD NZDCHF NZDJPY NZDUSD
SGDJPY SPXUSD TWIUSD UDXUSD UKXGBP
USDCAD USDCHF USDCZK USDDKK USDHKD
USDHUF USDJPY USDMXN USDNOK USDPLN
USDSEK USDSGD USDTRY USDZAR XAGUSD
XAUAUD XAUCHF XAUEUR XAUGBP XAUUSD
ZARJPY

Acquiring

Head to the HistData.com and start downloading. Make sure you’re getting the Generic ASCII tick data. You can even do it via FTP if that’s more comfortable for you.

If you wish to use several of the downloaded files in your CSV, you have to unpack and concatenate them in order (see Pepperstone & Integral above for more info regarding the concatenation).

Pros & cons

Pros:
– very wide array of available symbols
– gap info
– good date availability range for many symbols
Cons:
– the data source is inconsistent (4 digit, fixed spread MM mixed with ECN)
– cumbersome download process, you have to download one month at a time, go back, download another month; paid FTP access is available, though
– the GMT offset is inconsistent (and perhaps the DST as well)

Gain Capital aka forex.com

Background

Gain Capital is a rather old (founded in 1999) market maker broker that managed to get somewhat of a bad reputation. They hit their head on a half a mil fine that was graciously awarded to them in the year of our lord 2010 by the NFA for bad some bad practices, and I quote: “…engaged in abusive margin, liquidation and price slippage practices that benefited Gain to the detriment of its customers”. Anyway, I’m not pitying them since their forex.com domain name rod must be bringing them a ton of unsuspecting fish anyway.

Aside from offering shady trading conditions, they are also offering a selection of tick data, but last time I checked, its quality was just as poor. I can’t seem to remember what’s the first year that has tick data available and I can’t be bothered to download it again and find it out. Once more, fair warning: the data quality is pretty bad – not only is the data missing large chunks of time, but it’s also sporting misaligned periods (e.g. you can sometimes find data from the previous week in the file for the current week). The only good thing about it is the fact that a lot of symbols are available: from currency pairs major, minor and exotic to metals and various stocks and indices.

Show available currency pairs »

Available currency pairs:

AUDCAD AUDCHF AUDJPY AUDNZD AUDUSD
AUXAUD* BCOUSD* CADCHF CADJPY CHFJPY
ETXEUR* EURAUD EURCAD EURCHF EURCZK
EURDKK EURGBP EURHUF EURJPY EURNOK
EURNZD EURPLN EURSEK EURTRY EURUSD
FRXEUR* GBPAUD GBPCAD GBPCHF GBPJPY
GBPNZD GBPUSD GRXEUR* HKXHKD* JPXJPY*
NSXUSD* NZDCAD NZDCHF NZDJPY NZDUSD
SGDJPY SPXUSD* UDXUSD* UKXGBP* USDCAD
USDCHF USDCZK USDDKK USDHKD USDHUF
USDJPY USDMXN USDNOK USDPLN USDSEK
USDSGD USDTRY USDZAR WTIUSD* XAGUSD
XAUAUD XAUCHF XAUEUR XAUGBP XAUUSD
ZARJPY

* Stocks/indices

Acquiring

If despite my warnings above you’re feeling a bit masochistic and want to play with it, you can head out to the Gain Capital rate data page and fetch the archives; I recommend using a download manager.

Before finding other tick data sources, I used to use this data for testing so I perfected some scripts for it, which are still available for download as a PHP script collection on the tick data downloads page in the Miscellaneous section.
Inside you will find:

  • A script to process the data into a CSV. This script is heavily based on the original by carloss from the indo-investasi forum.
  • A script to somewhat filter & sort the resulted CSV.

Since these are totally obsolete to me, I’m not going to provide more details and you’re going to have to figure out how they work on your own. Shouldn’t be too hard, though. Please note that I’m not volunteering any support for these scripts.

Pros & cons

Pros:
– extensive array of available symbols including stocks & indices
Cons:
– the download process is cumbersome
– the data is split into weeks and the files have to be unpacked and manually concatenated (merged)
– the data quality is poor, there are gaps and misalignments
– there are no up to date tools to process the data

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