How is histdata.com for historical forex?

Using tick volume is not a decent representation of volume. It just shows you how many requotes are occurring.

With knowledge of the source of data, I don't think it's worthwhile to use it. They could completely change sources from day-to-day and you'd be trying to infer relationships that aren't there.

Can't beat the price, but the provenance is questionable.
 
Last edited:
jharmon said:
Using tick volume is not a decent representation of volume. It just shows you how many requotes are occurring.

With knowledge of the source of data, I don't think it's worthwhile to use it. They could completely change sources from day-to-day and you'd be trying to infer relationships that aren't there.

Can't beat the price, but the provenance is questionable.
More...

Tick volume is not perfect by a long shot but lacking volume data what would you use?
 
jharmon said:
Futures volume or CLS.
More...

Do you have access to CLS? I can't get it.

There was a study I read about which showed a 90% correlation between tick volume and real volume. Let's say that is now decayed to 80%. That's still decent!

Futures volume is difficult to map well as finding volume for expired contracts is a pain. But I also did look into this and may run a study at some point to see their correlation.
 
You must log in or register to reply here.
Back
Top