Understanding Good Quality FX Tick Data

08/31/2022 at 12:46PM

Your consistent success in forex trading, crypto, and CFD markets begins with accurate and trustworthy historical and real-time data. Tick is the most granular high-frequency form of that data. Tick data for forex is a crucial aspect of market analysis and backtesting strategies. However, it is susceptible to corruption. In this article, we take you through various technicalities of tick data, the importance of its quality, and the practical ways to ascertain the better quality of tick data.

Tick Data Definition

Tick Data in finance is pricing data with the details of each bid and ask. It also includes the details of the associated timestamp. To keep it simple, every instance a broker provides a quote to buy or sell a currency, the timestamp and prices are recorded. 

Tick data is high-frequency, in-detail information. It helps in market microstructure analysis, studying the patterns and trends to make profitable trading decisions.  

Importance of High-Quality Tick Data for Analysis

Tick data is an effective tool in the arsenal of market makers, brokers, analysts, and developers. However, it needs to be clean and not corrupt or fabricated to provide meaningful results. 

The forex historical tick data is significant for backtesting trading strategies. You can anticipate the way a trading strategy may perform in the future through accurate and reliable tick data. Robust and detailed analysis and backtesting help you draw winning strategies to gain consistent profits in your trading journey.

What Are the Causes of Tick Data Corruption?

The most significant cause of forex tick data corruption is its high volume. Due to thousands of ticks a day, detecting errors and data cleaning become challenging. Additionally, poor signals, signal loss, or signal delays may cause irregularities in the sequence of tick data for forex and other markets.

Popular and Effective Tools for Data Cleaning

Unfortunately, only a few reliable tools help you refine and recondition fx tick data. Tools like Excel cannot handle millions of entries (which may be tick data for a few weeks). The following are popular tools you can adopt for tick data cleaning:

OpenRefine (Previously GoogleRefine)

OpenRefine visualizes and manipulates large amounts of data in one instance. It looks like a spreadsheet but works like a database. 

By adopting this powerful tool, you get increased discovery capabilities and clean tick data at ease.

Custom Python Scripts

With its libraries like Panda, Python scripts are most effective for machine learning in time-series datasets like tick data. Custom python scripts help convert float epoch times to timestamp and date-time-index. 

Irregularities in Tick Data

The following are the types of corrupt tick data::

Bid/Ask Bounce
If traders keep selling at bid and buying at the asking price, it may show price movement on trade data. The price appears to bounce between two points.
Gaps

Ticks may not be recorded due to network interruptions or system outages for some duration. These are called gaps. 

Zero or Negative Volume or Price

Ticks with zero or negative prices are errors and are removed. This is a simple test. 

Multiple Observations with the Same Timestamp

You may observe multiple ticks for the same timestamp. For instance, a currency pair like EURUSD may have hundreds of ticks with the same timestamp. This is a sign of poor data quality.

Outliers/ Detached Records

Sometimes, you may find outliers due to a sudden increase or decrease in prices. It is impractical to remove these entries, as the records may be valid and will provide a better understanding of the market structure. A good tick data provider already eliminates invalid outliers.

A practical approach is to create rolling numerous confidence intervals during a trading day. It brings a great deal of ease in assessing if a tick is an error. Analysts should refer to ticks closest to such outliers.

Multiple Timestamps with the Same Observations

Sometimes cheap data providers add their own timestamps to stale prices to make them seem more frequent. This will generate a high number of ticks with infrequent changes in prices. This can be easily noticed by plotting historical tick data on a chart.

How TraderMade Ensures Delivery of Best-Quality Tick Data

It is critical to ensure the tick data is of the best possible accuracy, reliability, and quality. We always adopt a customer-centric approach while delivering tick data. We understand the significance of the accuracy of tick data for your analysis and profitable trading decisions.

Some data providers may forward the same time again and again. Similarly, some may provide only one price out of multiple records by generating their own timestamp. Both these approaches lead to poor quality data, which may adversely affect your analysis and trading in the long run.

We capture tick data from multiple sources rather than depending on one place. Our data represents every instance when a price is quoted. 

We forward tick data to our clients in real time. All our delivery methods are SSL encrypted. So, you can rely on us for validated, accurate, and reliable tick data.

How to Get Tick Data from Us?

We provide bulk tick data from January 2016. You can choose the duration (start month to end month) and purchase downloadable tick data at affordable prices. Visit our cart page and select the desired phase and ‘Tick’ option from the related dropdown. You can also get real-time tick data via WebSockets and REST API.

We offer bulk tick data for forex for a wide range of symbols. Select the desired options from the dropdowns, click the Add to Basket tab and make the payment by choosing a payment method. 

As you pay, you will be directed to a data download page. You can view the progress of your download. It may take a few seconds to a few minutes to complete the download, depending on the size of the files you opt to download.


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