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Where to find quality Forex tick data?

I downloaded EURUSD tick datasets for several years back from Dukascopy and found out that the data is trash. Many missing periods, sudden inexplicable jumps from one hour to 2 hours in the future etc. There's no way for me to fix this, the quality is simply trash.
Where can I find quality Forex tick historical datasets? I found a few sources googling around, but it takes a fuck ton of time to download it and check, it's even riskier if I have to buy it. Does anyone have any proved sources?
submitted by anon4357 to algotrading [link] [comments]

Dukascopy forex data

I've been trying to get data from the Dukascopy forex historicals for quite some time now, and I'd like to summarize what I've done so far, and what I still need, in order to help anyone else that also wants to use it.
First, just downloading the data is a pain. The URL that you have to get it from is
 https://datafeed.dukascopy.com/datafeed/{PAIR}/{YEAR}/{MONTH}/{DAY}/{HOUR}h_ticks.bi5 {PAIR} is the currency pair, for example "AUDUSD", "EURUSD", or "USDJPY" {YEAR} is the year, for example "2010", "2014", or "2017" {MONTH} is the month, a two digit number. For some reason, months are zero-indexed. For example, "00" corresponds to January, "05" is June, "11" is December. {DAY} is the day of the month, and as far as I can tell, it is NOT zero-indexed. Again, it is two digits wide. {HOUR} is the hour of the day. For some reason, Dukascopy stores each hour of the day separately. It is zero-indexed, so "00" to "23" 
Now that you have a *.bi5 file, you have to extract it. *.bi5 files are lzma compressed files, so find a way to extract them. I used 7z command line.
Now once you've extracted it, you'll notice it's still a binary file. The data is stored in 20 byte wide rows, with each 4 byte segment corresponding to a piece of data. Example:
[ TIME ] [ ASKP ] [ BIDP ] [ ASKV ] [ BIDV ] 0000 0800 0002 2f51 0002 2f47 4096 6666 4013 3333 TIME is a 32-bit big-endian integer representing the number of milliseconds that have passed since the beginning of this hour. ASKP is a 32-bit big-endian integer representing the asking price of the pair, multiplied by 100,000. BIDP is a 32-bit big-endian integer representing the bidding price of the pair, multiplied by 100,000. ASKV is a 32-bit big-endian floating point number representing the asking volume, divided by 1,000,000. BIDV is a 32-bit big-endian floating point number representing the bidding volume, divided by 1,000,000. 
This is how far I've gotten so far before I noticed that something is wrong. The contents of the *.bi5 file do not match the contents of the file that you can download from the official front-end, here: https://www.dukascopy.com/swiss/english/marketwatch/historical/ .
For example, the January 8, 2010 *.csv file does not match in any way with the *.bi5 file of the corresponding day. Does anyone know what I am doing wrong?
EDIT: Another question is about the hours: what time zone are these files relative to? It seems that the data starts showing up from the last two hours of Sunday, going through the week, and then stopping some time before Friday ends, all relative to whatever timezone this is in.
submitted by Allurisk to algotrading [link] [comments]

Questions on converting GMT+0 data (Dukascopy) to New York close candles

Hi all,
I downloaded Dukascopy historical data. The data is one hour per file and the time zone is GMT+0. I would like to write some program to convert the tick data to New York close candles, such as four hours and daily. In each week the data starts from 23h Sunday to 22h Friday.
I have several questions on the time zone conversion,
1, No matter what session we talk about, one Forex trading week always contain 24*5=120 hours, right?
2, What's the data in each week should be converted to NY close? Since NY is GMT-5, I think the NY week should start from the sixth hour of the week in the GMT+0 data?
3, Then when is the NY week end in the GMT+0 data?
To be clear, we can think the GMT+0 data is, Sunday: 2 hours, Monday~Thursday: 24 hours each day, Friday: 22 hours Then how to split those 120 hours to 5 candles with NY close?
I used TickStory to generate the NY data, but there is some wrong prices which generate very bad result in my back test, so I would like to generate the data by myself.
Thanks
submitted by wqking to Forex [link] [comments]

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