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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

2 Answers

up vote 8 down vote accepted

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
1  
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
up vote 5 down vote

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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