To develop and back-test trading algos its essential to have great gobs of historical data on hand, almost always at the tick level. More often than not this data comes from your broker—OANDA, Alpari, DukasCopy, and Integral (TrueFX), to name a popular few—whether through commercial platforms like MT4 or proprietary APIs. Alternately, one can use a generic downloader like Birt’s Tick Data Suite.
Over the years I’ve worked with more than a dozen brokers and other data providers so you think I’d have a handle on this stuff by now, but nothing could be further from the truth. No, its an ever changing and messy landscape. Continue reading