Resources and data

Excel spreadsheets by Finance4Traders can be downloaded from http://sites.google.com/site/finance4traders/

A Website with lots of Spreadsheets

This guy called gummy seems to be a big time fan of excel until recently when the author claimed that he has lost interest in all things finance. As the site might go down any time soon, go download all you need from there.

http://www.gummy-stuff.org/Excel/

Free FX Historical Data Sources

End of Day Data: Federal Reserve H.10 Foreign Exchange Rates

What you are actually getting: Noon buying rates in New York for cable transfers payable in foreign currencies.

Pros: Data stretches all the way back to 1970s for certain currencies. Data available for various currencies against USD.

Cons: Only buying rates available. Data from too far back might not be accurate. (e.g. rates that goes all the way back into 1980s)

http://www.federalreserve.gov/releases/h10/hist/

ALTERNATIVELY, you can download data that we have already collected from the fed reserve at http://sites.google.com/site/finance4traders/. [Filename: Fed Data. txt]

Indicative Data: Dukascopy

What you are getting: Open, High, Low, Close, Volume data in up to 5-minute intervals

Click onto "DATA feed" on the top menu bar and select your data download options.

Pros: Up to 5-minute granularity of data available.

Cons: Can only download 10,000 data points at one time. Data does not go very far back in time. Only up to the early 2000s for 5-minute data.

http://www.dukascopy.com/

Tick data: Gain Capital

What you are getting: bid-ask quotes from second to second, tick to tick, trade to trade

Pros: Good if you are doing really high frequency data research

Cons: Only data from 2000 onwards available. You need lots of hard disk space to store the data.

http://ratedata.gaincapital.com/

A Conditionally Free tick data source: Oanda

Open an account with Oanda and deposit USD1000 with them and you can request for the tick by tick data. Given that they are linked to Olsen Associates which keeps some of the most robust databases out there, your data from Oanda should be the most accurate.

Pros: Highly reputable for quality.

Cons: Limited to less than ten currency pairs as far as I can remember. Data available from 1 January 2004 onwards only.

https://fxtrade.oanda.com/your_account/historical_tick_by_tick_data.shtml

Note: If you download five years' worth of data in CSV, there is no way you can open the file in a spreadsheet software such as Excel. Either split your request into parts or use a more sophisticated software such as SAS, or order your data in plain text format.

Usually, one year of tick-by-tick data for one currency can range from few hundred mb to several gb. On the other hand, end of day data comes up to less than 1 mb even if it goes all the way back to the 1970s. Hence, the finer your dataset, the harder to manage. Plan your strategy then decide on your data needs.

Good Luck with Trading

Like what you have just read? Digg it or Tip'd it.

The objective of Finance4Traders is to help traders get started by bringing them unbiased research and ideas. Since late 2005, I have been developing trading strategies on a personal basis. Not all of these models are suitable for me, but other investors or traders might find them useful. After all, people have different investment/trading goals and habits. Thus, Finance4Traders becomes a convenient platform to disseminate my work...(Read more about Finance4Traders)