Quality of data, please help

[Rybster]

I'm writing my master thesis about quality of forex intrada data. I should compare. I have on my computer some series of 1 min and 5 min EUR/USD but I need some more. I would be very grateful if you could send me ([email protected]) 1 min and 5 min EUR/USD from your data provider. I need 1-3 month of data. I prefer xls, csv or txt files

Thank You in advance

 

[fundjunkie]

I'm writing my master thesis about quality of forex intrada data. I should compare. I have on my computer some series of 1 min and 5 min EUR/USD but I need some more. I would be very grateful if you could send me ([email protected]) 1 min and 5 min EUR/USD from your data provider. I need 1-3 month of data. I prefer xls, csv or txt files

Thank You in advance

Well, I don't know what aspect of the time series you're evaluating so I'll assume you're addressing the accuracy of the data against real-time market events. If that's true I think any data you could get here will be all but worthless as it will either too clean, too dirty or just untrustworthy from an objectivity point of view.

Have you tried approaching a data vendor like tickdatamarket? They provided sample data to me (cleaned and non-cleaned) and may give you what you need if you explain the purpose...

That said, I'd approach multiple vendors if you can for additional verification/validation...


Regards,
D

 

[duxis]

Have you tried approaching a data vendor like tickdatamarket? They provided sample data to me (cleaned and non-cleaned) and may give you what you need if you explain the purpose...

Be careful with this "so called company" tickdatamarket managed by a single guy.


the data i bought were full of missing ones, maybe between 10%/20% missing data per day. (the cheapest is not always the best way to go)
Do not launch a backtest before having checked them.

after a complaint he sent me an updated version , cleaned or not ? i don't know, I do not have data yet from an alternative provider to compare.

 

[Adamus]

Interesting subject, but what exactly is the title of your thesis, if you don't mind me asking?

I'm sure a well-worded request to the big quote feeds would produce what you're looking for.

 

[alextrade]

I compared data from different vendors and choose to work with "Tickdatamarket.com". I bought them about 30 futures since three years and no problem with the quality.

You can try "pricedata.com", I konw they give for free data for universities or student. I don't test their data and not sure of the quality.

Rgds

 

[Hoggums]

Blimey I just spent 5 mins writing a reply only to realise it's from 2006. I think that thesis is finished now.

 

[RVTrader]

Be careful with this "so called company" tickdatamarket managed by a single guy.


the data i bought were full of missing ones, maybe between 10%/20% missing data per day. (the cheapest is not always the best way to go)
Do not launch a backtest before having checked them.

after a complaint he sent me an updated version , cleaned or not ? i don't know, I do not have data yet from an alternative provider to compare.

Hi Duxis, I was actually thinking of buying some data from tickdatamarket as well. Was the corrected data that he sent you ok? Having had time to use the data since you bought it, would you say that it is correct and would you recommend buying from this guy or against it?

 

[duxis]

Hi RVTRADER.

would you say that it is correct and would you recommend buying from this guy or against it?

well, it depends on wich time frame you want to analyse or backtest a strategy.
yes i had the time and the chance to compare TDM's data with a big sample from the source (Eurex) concerning Dax future.
It's an evidence , disparities exist in term of ticks and volume....but that will really have no impact if you work with a 5 minutes TF and more.
Hope this helps you.

RVT, don't spend your money for Dax data, i have it and i am ready to exchange with other futures.