Recent content by icash55

Free data from Forexite.com (Russian site) is very good: http://www.forexite.com/free_forex_quotes/forex_history_arhiv.html Data starts from 2001. To simplify the data downloading and joining, download the program "Forexite QuoteRoom" (English interface is available), let it download...

I recommend data from forexite.com (free).

OANDA

Is the data from 2000 from GAIN Capital and the spreads are too wide? Why not just set fixed spreads? OANDA offers FX tick data starting from 2004 free to their customers with minimum $1000 balance. Only 5 pairs however. Info: http://fxlabs.oanda.com/cgi/fxlabs.pl?id=9

Idea that intuitively makes sense: moving correlation of price with its moving average.

CFTC site says "Due to federal holidays, reports may be released one day later. Please recall that Good Friday is not a federal holiday.". That needs to be considered.

chartie: No, I didn't really noticed the missing '*'. That's a possible explanation. Let's better not argue. Surely a few incorrect dates won't cause a critical error. As ChoSingKum correctly said it's about personal preference. I prefer to work with clean, accurate data :) If no one can share...

ChoSingKum: I showed you 1 exception, but there are probably more. Without knowing the strict rules I cannot calculate these dates correctly. I doubt they can even be calculated.

Doesn't explains why it was delayed from Friday, January 5, 2007 to Monday. No holiday at January 5 in previsouly mentioned holiday lists. Important for backtesting. By knowing the release dates positions can be opened sooner, without guessing "was that data already available at that time?".

Just compared with available COT calendar history (http://www.cftc.gov/dea/deacotcalendar.htm). Nov. 24, 2006 (Fri, Closed at 1:00 pm. Day after Thanksgiving Day) -> COT report moved to Monday = OK But there is no January 5 in holiday list, only January 2. COT report was delayed to Monday...

I am writing an indicator to use COT report data in backtesting and encountered a problem: unfortunately the historical COT data files at http://www.cftc.gov/cftc/cftccotreports.htm do not contain report release dates, which can be important information when doing backtesting. Without this...

SergiPavl: OANDA (tradeable quotes, 10 pips weekend spread for EURUSD)

GAIN Capital has data from 2000, but it has quite many holes in early data.

I use free FX spot data from Gain Capital, OANDA, and from unknown source which you can download from e-donkey/e-mule (search: forex data. It's very good quality, clean 1M interval data IMO, and quite long term, starting from 2001, + some more 15M data). Alpari also has free data...