April 20, 2014

MetaTrader 4 version 225 for Backtesting

This is a really quick note on the backtesting using the MetaTrader data we discussed in the previous posts.  It seems to work only with version 225.  With version 226 things become messy, ie downloading the data from the Forex Tester site delivers data for plotting, via the offline loading option in the File Menu, [...]

TickData from DukasCopy (Part 4) — Putting it all together

Following on from the last posts the structure of the program will be: Download the .bin files Convert these to .csv files for days. Here are the two files: DukasPHP.  Given the previous discussions, the reader should have no problem understanding what’s going on.  From my perspective it was fun to get an introduction to [...]

TickData from DukasCopy (Part 3) — Converting .bin to .csv

In this post we illustrate how to read a .bin file and save the relevant information in human readable format. Let’s recall from Part 1 that the the .bin file is compressed zip file.  So we need to unzip it.  The resulting file is in the format (Time, Ask, Bid, Ask Volume, Bid Volume), where [...]

TickData from DukasCopy (Part 2) — Downloading Tick Data

PHP is a great scripting language (so is Ruby and Python, however, I just discovered PHP, and it’s great for websites, if you know how to setup an http server on your machine.  It’s also great for educational purposes.) First thing’s first: download PHP from here.  Remember, I am a Windoze fan!  Other platforms are [...]

TickData from DukasCopy (Part 1)

Thanks to Birt’s EA Review there is an easy way of obtaining Tick Data from DukasCopy.  They are an ECN brokerage for FX based in Switzerland.  They are reputable, and no bad comments have been floated against them.  They are regulated, and have been about for some time, and have decent volume.  Their initial deposit [...]

Tick Data from GAIN Capital

Tick data constitutes the most granular of all infromation available from the market.  We will omit all the detail and nitty-gritty, with regards to the types of markets, order dissemination, etc. that can exist, and postulate very simplistically: there exist two kinds of information that can be received: Transaction infromation (tick), which can either be [...]

Market Data

Once MetaTrader is connected to a broker, historical price data will be automatically downloaded for those currency pairs which are charted.  However, the history is limited and can be patchy. One can obtain reliable minutely data via third parties.  The data source we will use here to populate MetaTrader’s historiy center is ForexTester, which provides [...]