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To take into account lag-like discrepancies between two time series, DTW(Dynamic Time Warping) algorithm is generally used. Quoting from wiki - "In general, DTW is a method that calculates an optimal match between two given sequences (e.g. time series) with certain restrictions. The sequences are "warped" non-linearly in the time dimension to determine a ...


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It is not uncommon to find significant differences in historical price data from different sources & data vendors. For example, if you look at ETF ticker symbol "EEM" for the period from 2001 until now using free Yahoo data and free Google data from the Internet, you will see that for some of this period they agree and for some of the time they are quite ...


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The master list already has dukascopy listed for forex historical tick data. Dukas also now has selected CFDs of indices, metal/energy, and individual stocks. The forex data for the majors go back to 1997 or so. It's free, so you get what you pay for. The data that is more recent (last 5 years) has almost 0 gaps on the majors and crosses. What was also ...


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As Joshua mentioned, spot fx is decentralized. Furthermore, brokers (broker dealers) are reluctant to share their order-flow, mainly because it would likely reveal they are running a partial/full b-book (aggregation or internalizing client trades). This has become a sensitive topic in retail trading circles due to the temptation of dealers to 'trade ...


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For NYSE EuroNext data I think this is the page to start at. This seems to be what you are after here There are sample files provided here showing hte format of their many historical data sets.



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