# FX Tick Data question

Anyone can tell me what the first column and the last column in this FX tick dataset mean? The first seems like some kind of ID, and what D in the last column mean?

368412956 AUD/CAD 12/30/2007 17:00:03.000 0.8598 0.8604 D

368413005 AUD/CAD 12/30/2007 17:00:58.000 0.8599 0.8605 D

368413022 AUD/CAD 12/30/2007 17:01:06.000 0.8600 0.8606 D

368413102 AUD/CAD 12/30/2007 17:01:37.000 0.8599 0.8605 D

368413110 AUD/CAD 12/30/2007 17:01:42.000 0.8601 0.8607 D

368413262 AUD/CAD 12/30/2007 17:03:55.000 0.8602 0.8608 D

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 Can you say where the data set came from? Also, is there a value in the last column that isn't "D"? – chrisaycock♦ Apr 7 '11 at 18:14 It's from gaincapital. This is a question my friend asks which i tried to help him. – Andy Nguyen Apr 7 '11 at 18:39

The first column is just a unique id tagged by Gain; this allows you to separate multiple messages that come in with the same timestamp.

D means "dealable": this means that a trade could take place. According to this thread, Gain is known for not dealing around events like major news announcements.

[Note: In EBS data, which is much more reliable, "D" means "deal" (or trade) while "Q" means "quote". This is an entirely different meaning from in the Gain data.]

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What would Q mean then? – Andy Nguyen Apr 8 '11 at 1:47
@Andy See my update; sorry, I was confused based on my prior experience with FX data. Don't use Gain myself, I use major banks and ECN's; Gain tends to serve retail clients more than institutions. See Mebane Faber's recent critique of Gain and company: mebanefaber.com/2011/04/03/currency-trading. – Shane Apr 8 '11 at 1:52
For reference: a quote is the top of the book bid/ask spread provided by a market maker or limit order book. In this case, all of Gain's data is quote data: they don't seem to provide transaction prices. – Shane Apr 8 '11 at 1:54
Shane, how can I access EBS data? After cleaning it up I am planning to use GAIN data for backtesting. Can you comment on how reliable is gain's data for backtesting purposes? Can you suggest any other sources (non-commercial). Thanks! – user714 Apr 8 '11 at 13:54
The GAIN data is quite unreliable (unordered and with gaps). The best place for free data I have found is dukascopy: dukascopy.com/swiss/english/data_feed/historical , although it would be great to see how that compares to a real provider. – Terco Apr 11 '11 at 11:09

Looking at the original headers for some recent data we have something like this:

lTid    cDealable   CurrencyPair    RateDateTime    RateBid RateAsk


So D would seem to be "dealable", but to be honest I couldn't find an example of a non-D value in the files (I haven't looked thorougly though), so I don't really get it.

The cryptic ID, is a tick identifier, but no information is given as to how it is really constructed. I assume it should be automatically incremented on every incoming tick (across any currency).

If that's true, then the actual data seems to be sorted by date/time column (if you look at some recent files, some ticks occur with equal time and are out of order when comparing IDs). So you should verify it first.

Unfortunately, I couldn't find anything better on this.

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