I have built a FX trading system for a friend using TradeStation with Advanz Auto-4x interface to trade via Forex.com. Our intention is to work with Gain Capital once the system has been proven and acquired sufficient trading capital. (Forex.com is their retail subsidiary). But the whole setup is very clunky and falls over all the time and is very difficult to maintain, so we are looking to build our own app that talks to a broker directly. However, we seem to be having trouble getting the data we need. The API from Gain Capital supposedly has historic data and real time data, but all we can see, so far, is bid/ask quote data without size data and without any actual trade information and our developer tells me that that is all we can get according to his support contact at Gain (and their documentation is primitive). If push comes to shove, we can simulate 1 min bars from bid/ask mid-points instead of real trade prices (and without any volume data) -- but is this really the way FX guys go about things? Is this normal for FX? Is our contact at Gain an idiot? Can anyone recommend a better brokerage with a better API feed?

Check out Thomson Reuters DataScope Select & DataScope Tick History, both come with robust APIs.:T

Someone at Gain Capital tells me that because cash currency trading is not exchange driven, there is no central record of actual trades in currencies and the banks they deal with send them quotes only. Does this accord with the general wisdom here?

"An Introduction To High-Frequency Finance" basically says that data fromn EBS and Reuters Dealing have good HF data with rtanssaction prices and volumes, but access to this data is limited.Bid-Ask prices are quoted prices, and that is more easily available; therefore it is the most researched dataset.

FermionI dont think volume is not noted. If you look at Interactive Brokers, my fx broker now, their exchange is Idealpro, and you get volume information upto DOM 5. Funnily enough I used to trade with TS and Gain capital is their broker obviously - but I never had any access to volume data.ALernatively you could try fx futures at CME. Both volume and spread is more competitive. I am leaning in that direction now myself. IN IB, the slippage is killing me. Futures commissions are more though. YrsSimon.

Your contact at Gain is right about the data not being central. Other places can give you data info but they are only giving you what is traded on their platform. If a big bank sold 50million EURO on EBS and another trader bought 100K on IB you will see 100K BUY order only. As a result your data will be miss leading when compared to all markets.EBS and Reuters are very expensive to get. They have monthly minimum expenses in thousands of dollars not to mention the brokerage fees they charge. EBS charges tens of thousands of dollars for a faster update of data.Also all the historical data you get is based of your broker not the actual market( though they are very close to other markets). This won't affect you unless you are trading high frequency and spread is very important for you.

Thanks for that info, quantumar. That agrees with what I was seeing.

Have you ever tried MetaTrader and MetaQuotes for programming? There are brokers out there who give free access to demo / testing accounts and pricing history.The platform is broker independent so you can change brokers if not happy with their service.