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The fx market, contrary to most other asset classes is an almost entirely fragmented over-the-counter market, aside the very small number of fx futures that are trading at dismal liquidity levels. Therefore, you will not encounter a single serious liquidity provider that will take a stab at estimating total traded volume in any of the currency pairs. Having ...

No - clearly you've not seen the licensing agreements the exchanges force you to sign (one way or the other). Generally such firms and individuals have greater utility from the money they'll make working with the data than risking going to jail. Market data is a 5bn / yr business. You're pushing the proverbial up-hill. Anyway, you can get financial index ...

I think storing in UTC format is good practice. Here couple ideas that may motivate someone to deviate from that: Some markets are subject to day light saving time shifts and thus it introduces additional computations to convert back and forth, having to keep track of the 2 times a year the shifts occur. Some only limit themselves to an individual market, ...

This may or may not help you depending on what resources are available to you. If you happen to have access to any source of daily data which contains both tickers and SEDOLs (i.e., the London Stock exchange unique identifiers; these are quite commonly used), then you can trivially derive 99% of all ticker changes. When a ticker changes, the SEDOLs ...

I composed Gain-Capital's historical data files into one series for back-testing a while ago and too noticed that they are out of order. Each CSV file contains correctly ordered data points but it seems the CSV files are out of order (maybe wrongly named). I went for another source in the end. If Index A comes in at 12:00:01.001 and Forex B comes in at ...

Correct explanation by Freddy. Retail investors and even most institutional investors don't have access to trading, bid, or ask volumes. The reason is that there is no centralized body who would aggregate data. Would it be possible to put it in place? Certainly, but the big fx players (handful of the really big banks) would suffer. Although not even the ...

Lagged means past values. The lag can be by as long as you want. If Interest Rates today are 0% and yesterday they were 0.25%. Yesterdays value is what we call the lagged value. Let's say its now 2012 and we are looking at IR in yearly frequency. IR is 0.1%. To lag IR we simply look back at the last value. So what was IR last year? It was 0.3%. Notice how ...