According to the website for IQFeed, there should be historical minutely data for Forex going back to 2005. However when I try to get EURUSD from either TENFOR, Barclays or FXCM, it goes back at most to May of 2007. I'm using AmiBroker. Is this a problem with the client or is there missing FX data? Can you confirm what the oldest quotes are for minutely data for FX major pairs?

Thanks.

Hello Argyle, for both FXCM and Barclays we do have data going back to '05 for most major currency pairs. With Tenfore our minute data starts at the beginning of this year, since that is when we acquired that data. For FXCM we received data from them for Historical data hence it is going back to '05.

One thing I am wondering is what do you have your Database Settings set to within AmiBroker? Within my copy I am set to 500,000 Bars which is the max that it will do and for most symbols it will give me most if not all of the minute data, however for EURUSD.FXCM I am only able to get back to 8/12/08. Within IQFeed we are able to see all of the data back to '05.

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Curtis Thompson
curtis.thompson@dtn.com
Trading Markets Customer Service
1-800-397-7000 x3614

Hi,

I am having the exact same problem with tick data and it is not because of the number of bars set in AmiBroker. I set my max bars to 5,000,000 in the registry and I was able to retrieve what looked like a full 30 days of tick data for several currency pairs. The next day, however, I was only getting 7 days of tick data for any new currency pair that I added. I checked how many bars this was of tick data and it usually is around 400,000. I also checked to make sure that I am not going over any memory limit. I am retrieving the .FXCM data now, although I was able to get the full 30 days of data yesterday for .COMP, .EFXG, and .FXCM on NZDUSD.

Furthermore, all the new data that goes back 7 days starts at the same exact time (midnight ET), giving me the impression that the data is being intentionally cut off.

This also applies to futures contracts that I am looking at. Any help is appreciated.

Thanks,
Chris

IQFeed does offer 30 calendar days of Tick data during 'After Market Hours'. During the 'regular market hours' we have 8 calendar days of Tick data.

I would guess that when you received the full 30 days worth of data, you were retrieving them outside of market hours. (market hours are currently 9:30 EST -> 16:30 EST)

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Nathan W. Bartsch - Senior Software Engineer - DTN
Edited by DTN_Nathan_Bartsch on Jan 13, 2010 at 11:40 AM

That's exactly what the problem was. Thanks!