EURUSD tick data is missing on small time intervals

General discussion about the Tickstory Lite software package.
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rshinkaruk
Posts: 1
Joined: Sun Oct 10, 2021 1:27 pm

EURUSD tick data is missing on small time intervals

Post by rshinkaruk »

Hello,

I am new to Tickstory and will be grateful if someone could explain the following:
- I downloaded data for EURUSD on 6/1/2021
- The data starts at 10am
- I can see occasional gaps in the data. For example, after the tick at 10:00:04.149 goes 10:00:14.436

Question: Why 10 seconds are missing? I am observing similar issues throughout the data while on MT5 I can get data for each second

tickstory
Posts: 4883
Joined: Sun Jan 06, 2013 12:27 am

Re: EURUSD tick data is missing on small time intervals

Post by tickstory »

Hi Rshinkaruk and welcome!

The data you are viewing is high-quality tick data which depicts the actual activity that occurs on the exchange. This is as opposed to what Metatrader provides which is an aggregated view of tick activity. Metatrader does this since tick data is voluminous and expensive to host on their data servers, so instead they aggregate this data so it can quickly be downloaded and used for basic analysis. Tick data, on the other hand is important for those who want to test their strategies with accurate information.

Since tick data represents the actual activity occurring on the market, there will naturally be some times where there are no price movements or activity.

Given that tick data is the most "atomic" form of pricing data available, you can construct 1-second bars from this data if you want. Tickstory provides the ability to do this via the "File Export" function and then selecting the "1-second" output time-frame. As with Metatrader, Tickstory can aggregate the the "gaps" in trading activity so that that open/high/low/close price will simply be carried through as doji/flat bars until pricing movement occurs again.

Hope this helps.

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