I need FX data (the most accurate possible) for use in R. Right now I have developed a script in Java to download the CSV file (from Oanda) and use this file to read it in R, but I think that is a turn around. Someone know a best option to work with R?
Have a look at the TFX R package.
FX is a very different beast because there's no centralized market and the actual flow you can interact with differs greatly from participant to participant. I would recommend that you only use historical data that you are storing yourself.