Open Source Tick Capture for FX?

opsho · April 18th, 2007, 3:58 pm

Does anyone know of any open-source software that will allow you to create a tick database off of Reuters Triarch? I'd like to start capture our own internally published spot rates but don't want to have to spend a fortune doing so. This would mostly be used for algo backtesting/development.Alternately....anyone know of a cheap/free way to get quality spot FX tick data?

lewishortthemall · April 18th, 2007, 4:04 pm

http://ratedata.gaincapital.com/It's free so no illusions Alternately ,there is ebs data for 50k a month or olsen data (you can get free tick data on 4 majors if you put 1 grand on an account with olsen and associates fx broker).

BetaExoticBets · April 19th, 2007, 8:26 pm

Wow! That is a lot of data. Without downloading it all I obviously can't see it. Is it tick (like the Olsen data)? Do you know the format, frequency, source etc?Thanks.

lewishortthemall · April 20th, 2007, 9:20 am

The data is bid-ask(ticks) and stems from a retail fx broker(gain capital) ,but the frequency is lower than Olsen data's of course and there are a few bad ticks ,therefore Quoteif you are going to create a program that compresses the tick data into a higher time frame you would want to make sure that you have a filter in your code that takes these bad ticks out.

BetaExoticBets · April 20th, 2007, 12:37 pm

Thanks, I have a nice big sample of the Olsen data already. It is first rate.