Roger Aitken
Roger Aitken

Sourcing and integration of historical pricing data for FX applications

The demand for historical FX pricing data shows little sign of abating, with advances in technology and algorithmic trading in recent years driving matters. Roger Aitken canvasses industry opinion on how this trend is affecting the sourcing and integration of such data for FX applications.

First Published: e-Forex Magazine 38 / Features / January, 2010

With trading in the world’s main foreign exchange markets estimated by a recent Bank for International Settlements Triennial survey (December 2007), to be over US$3.2 trillion (c.€4.5trn) daily, equivalent to 30 times larger than the NYSE and NASDAQ combined, demand for historical pricing data would seem assured. This is especially true given that a tad over US$1trn is accounted by spot FX transactions alone - largely driven by big institutions but also fuelled by a rapidly growing online retail FX trading market. Developing a mechanical FX trading system requires back testing. And, backtesting for systematic and algorithmic traders requires plenty of high quality FX historical price data from which to build models and evaluate new trading strategies before they are unleashed into a live environment. As such, historical price data that includes tick data, raw and cleansed data, are therefore absolutely critical elements for many FX trading end users. Generally speaking, having local copies of data...continued

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