Why does historical equity ticks from Dukascopy.com not contain trade ticks?

Question

I've found that ticks for equities (for example for companies from US market like Amazon or Apple) someone could name as "best bid/ask offer" (or Level 1 type of tick data) and them clearly not contain "trade bid/ask" ticks. You can see that bid always not equals ask so it is not a "trade bid/ask" ticks.

I've compared candlesticks for 5-mins frame from yahoo-finance and from Dukascopy.com and receive different open/close/high/low values for these candles (obvious result as Dukascopy.com data includes I guess "best bid/ask offer").

There is some warning at the bottom of the site "Dukascopy Bank's CFD quotes shall not be considered as precise price information obtained directly from the exchange and/or the trademark owner of the hedging instrument." Is it connected somehow to CFD product?

Answer 1

Understanding exactly where the price data comes and which trades are incorporated into the data is important.

A CFD is a derivative instrument. The market maker of the insturment (in this case, Dukascopy) maintains this derivative market by offering a bid/ask spread against the underlying instrument. Certain CFD providers will transparently place your order into the underlying market, but others will use other techniques to hedge their position. Others will even just take the opposite position to you, if you are not a regular winning trader. Beware of requotes when a market moves against your desired trade. Expect slippage (or even the inability to trade) in fast moving markets.

Since a specific broker's CFD trades are nowhere near as plentiful as the underlying market, it is typical to see a CFD charting showing the bid/ask pricing. Such charts will be highly correlated to the underlying market of course, but the exact price minima/maxima will not be identical.

Another factor involved is that the default style for trade reporting on the US is via the "consolidated tape". This has specific rules, developed by the Consolidated Tape Association, on which trades are incorporated into the tape (e.g. large block trades are not eligible to update the last sale price, but are included in the daily volume). The CFD might only be basing their market making from the primary listing of the security or, perhaps, a handful of exchanges.