Inferring highest bid and lowest ask from forex trade data

Question

I have historical trade data for every trade on a forex exchange, whcih includes the following data:

• Time the trade was made
• Amount, in currency A
• Price, in currency B

I have also used this to organize the data into candlestick data for periods, which includes:

• Volume in currency A
• Volume in currency B
• Low price
• Open price
• Close Price
• High price
• Number of trades

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How will I be able to use the data I have to infer the highest bid or lowest ask at a certain point in time? Also, is there any way I will be able to guess the volume of the high bid/low ask orders?

This won't be a perfect solution because I don't have access to historical market depth.

Answer 1

what you are trying to do is not recommended; especially in FX market.

here is why: - The spread changes depending on time of day and trading venue. - FX market is based on quotes. What you see is not what you get. This also depends on the broker you are using. - FX market changes all the time; hence the spread today; may be different than same day last year.

I suggest you gather statistics on the spread variance; and use the worst case scenario as a fix spread for all your data.

You cannot infer the volume in FX market. It also depends on time of day; and all the stuff listed above.