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Historic Rate Data from Gain Capital

https://tickstory.com/forum/viewtopic.php?f=5&t=592

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Historic Rate Data from Gain Capital

Posted: Wed Jan 28, 2015 2:34 pm
by Fiverr
Guys,

Check this out. We can use this as a second tick source.

http://ratedata.gaincapital.com/


lTid,cDealable,CurrencyPair,RateDateTime,RateBid,RateAsk
3520596979,D,EUR/USD,2014-10-05 17:00:07.533000000,1.251190,1.251360
3520596998,D,EUR/USD,2014-10-05 17:00:09.500000000,1.251200,1.251370
3520597062,D,EUR/USD,2014-10-05 17:00:19.767000000,1.251210,1.251380
3520597143,D,EUR/USD,2014-10-05 17:00:29.783000000,1.251230,1.251400
3520597163,D,EUR/USD,2014-10-05 17:00:30.517000000,1.251210,1.251380
3520597231,D,EUR/USD,2014-10-05 17:00:47.767000000,1.251190,1.251360
3520597279,D,EUR/USD,2014-10-05 17:01:07.767000000,1.251200,1.251370
3520597331,D,EUR/USD,2014-10-05 17:01:48.767000000,1.251210,1.251380
3520597352,D,EUR/USD,2014-10-05 17:02:00.267000000,1.251260,1.251430
3520597471,D,EUR/USD,2014-10-05 17:02:44.017000000,1.251270,1.251440
3520597485,D,EUR/USD,2014-10-05 17:02:44.283000000,1.251290,1.251460
3520597539,D,EUR/USD,2014-10-05 17:02:49.267000000,1.251300,1.251470
3520597595,D,EUR/USD,2014-10-05 17:02:53.517000000,1.251310,1.251480
3520597745,D,EUR/USD,2014-10-05 17:03:09.267000000,1.251320,1.251490
3520597753,D,EUR/USD,2014-10-05 17:03:09.767000000,1.251330,1.251500
3520597765,D,EUR/USD,2014-10-05 17:03:10.267000000,1.251340,1.251510
3520597928,D,EUR/USD,2014-10-05 17:03:18.767000000,1.251330,1.251500

Re: Historic Rate Data from Gain Capital

Posted: Wed Feb 04, 2015 1:31 am
by tickstory
Thanks, Fiverr. We're working on a delimited file importer that should handle this format. Any comments with regard to the reliability of the data?

Re: Historic Rate Data from Gain Capital

Posted: Thu Feb 05, 2015 5:34 pm
by Fiverr
Because the FX market is not centralized; hence, it is advisable to test your algo with multiple data sources. If an algo is still profitable with multiple sources, then we can ensure robustness. This will also eliminate curve fitting in our trading system design.

Re: Historic Rate Data from Gain Capital

Posted: Sun Feb 08, 2015 10:12 pm
by tickstory
Agreed. So as far as you're aware the data is complete and accurate for testing strategies at a tick level?

Re: Historic Rate Data from Gain Capital

Posted: Sat Apr 25, 2015 10:28 pm
by Naddmr
Hi folks,

I use their data since 2012 to build up my own tick based data ware house.
Their data is pretty accurate albeit they changed their format a few times so the import script had to deal with the changes accordingly.

Here's the part of my perl script with the different regexps to break up their formats to get started:

Code: Select all

                     if (/((^\d*)\,([A-Z]*)\/([A-Z]*)\,(\d{4}-\d{2}-\d{2}\s\d{2}\:\d{2}\:\d{2}\.000)\,(\d*\.\d*\,)(\d*\.\d*\,)D)/) {
                                my $fract=(split(/,/))[0];
                                if (length($fract) > 3 ) {
                                        $fract=substr($fract, length($fract)-3,3);
                                }
                                $fract=sprintf("%03d", $fract);
                                $tc_symbol=(split(/,/))[1];
                                $tc_time=(split(/,/))[2];
                                $tc_time=(split(/\./, $tc_time))[0] . "." . $fract;
                                $tc_bid=(split(/,/))[3];
                                $tc_ask=(split(/,/))[4];
                                $struct_ok=1;
                        }
                        # Format 2: <18616,"USD/JPY",2004-03-09 09:07:00,"111.30    ","111.35    ">
                        elsif (/(^(\d*)\,"([A-Z]*)\/([A-Z]*)"\,(\d{4}-\d{2}-\d{2}\s\d{2}\:\d{2}\:\d{2})\,("(\d*)\.(\d*)\s*")\,("(\d*)\.(\d*)\s*"))/) {
                                $tc_symbol=(split(/,/))[1];
                                $tc_symbol=~s/\"//g;
                                my $fract=(split(/,/))[0];
                                if (length($fract) > 3 ) {
                                        $fract=substr($fract, length($fract)-3,3);
                                }
                                $fract=sprintf("%03d", $fract);
                                $tc_time=(split(/,/))[2] . "." . $fract;
                                $tc_bid=(split(/,/))[3];
                                $tc_bid=~s/\"|\s//g;
                                $tc_ask=(split(/,/))[4];
                                $tc_ask=~s/\"|\s//g;
                                $struct_ok=1;
                        }
                        # Format 3: <192968689,"EUR/JPY",2006-01-15 17:05:27,138.710000,138.770000,"D">
                        elsif (/(^(\d*)\,"([A-Z]*)\/([A-Z]*)"\,(\d{4}-\d{2}-\d{2}\s\d{2}\:\d{2}\:\d{2})\,(\d*\.\d*)\,(\d*\.\d*)\,"D")/) {
                                my $fract=(split(/,/))[0];
                                if (length($fract) > 3 ) {
                                        $fract=substr($fract, length($fract)-3,3);
                                }
                                $fract=sprintf("%03d", $fract);
                                $tc_symbol=(split(/,/))[1];
                                $tc_symbol=~s/\"//g;
                                $tc_time=(split(/,/))[2] . "." . $fract;
                                $tc_bid=(split(/,/))[3];
                                $tc_ask=(split(/,/))[4];
                                $struct_ok=1;
                        }
                        # Format 4: <281982362,EUR/JPY,2006-12-08 16:30:31,153.630000,153.670000,D>
                        elsif (/(^(\d*)\,([A-Z]*)\/([A-Z]*)\,(\d{4}-\d{2}-\d{2}\s\d{2}\:\d{2}\:\d{2})\,(\d*\.\d*)\,(\d*\.\d*)\,D)/) {
                                my $fract=(split(/,/))[0];
                                if (length($fract) > 3 ) {
                                        $fract=substr($fract, length($fract)-3,3);
                                }
                                $fract=sprintf("%03d", $fract);
                                $tc_symbol=(split(/,/))[1];
                                $tc_time=(split(/,/))[2] . "." . $fract;
                                $tc_bid=(split(/,/))[3];
                                $tc_ask=(split(/,/))[4];
                                $struct_ok=1;
                        }
                        # Format 5: <1123609580,D,USD/JPY,2010-04-23 17:00:00,93.960000,93.990000>
                        elsif (/(^(\d*)\,D\,([A-Z]*)\/([A-Z]*)\,(\d{4}-\d{2}-\d{2}\s\d{2}\:\d{2}\:\d{2})\,(\d*\.\d*)\,(\d*\.\d*))/) {
                                my $fract=(split(/,/))[0];
                                if (length($fract) > 3 ) {
                                        $fract=substr($fract, length($fract)-3,3);
                                }
                                $fract=sprintf("%03d", $fract);
                                $tc_symbol=(split(/,/))[2];
                                $tc_time=(split(/,/))[3] . "." . $fract;
                                $tc_bid=(split(/,/))[4];
                                $tc_ask=(split(/,/))[5];
                                $struct_ok=1;

                        }
                        # Format 6: <1489060813,D,EUR/USD,2011-04-24 17:18:14.930000000,1.455900,1.456200>
                        elsif (/(^(\d*)\,D\,([A-Z]*)\/([A-Z]*)\,(\d{4}-\d{2}-\d{2}\s\d{2}\:\d{2}\:\d{2}\.\d{9})\,(\d*\.\d*)\,(\d*\.\d*))/) {
                                $tc_symbol=(split(/,/))[2];
                                $tc_time=(split(/,/))[3];
                                $tc_bid=(split(/,/))[4];
                                $tc_ask=(split(/,/))[5];
                                $struct_ok=1;
                        }
                        else {
                                print("$name mismatch: <$line>\n");
                        }
The most outstanding feature of their tick data is the time range covered. Some pairs have tick data as early as March 2003.

Re: Historic Rate Data from Gain Capital

Posted: Mon May 04, 2015 4:05 am
by tickstory
Many thanks for you contribution, Naddmr.
All times are UTC
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