I have historical trade data for every trade on a forex exchange, whcih includes the following data:

  • Time the trade was made
  • Amount, in currency A
  • Price, in currency B

I have also used this to organize the data into candlestick data for periods, which includes:

  • Volume in currency A
  • Volume in currency B
  • Low price
  • Open price
  • Close Price
  • High price
  • Number of trades

How will I be able to use the data I have to infer the highest bid or lowest ask at a certain point in time? Also, is there any way I will be able to guess the volume of the high bid/low ask orders?

This won't be a perfect solution because I don't have access to historical market depth.


what you are trying to do is not recommended; especially in FX market.

here is why: - The spread changes depending on time of day and trading venue. - FX market is based on quotes. What you see is not what you get. This also depends on the broker you are using. - FX market changes all the time; hence the spread today; may be different than same day last year.

I suggest you gather statistics on the spread variance; and use the worst case scenario as a fix spread for all your data.

You cannot infer the volume in FX market. It also depends on time of day; and all the stuff listed above.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.