Sources, Bid/Ask quotes, timestamps, formats and delivery: click a question to read the answer.
Historical Forex data
Where does the data come from?
Our offering is sourced from a consolidated feed, which aggregates quotes from approximately 200 banks and liquidity providers. It does not represent all quotes worldwide. The source may vary by product: its origin should be checked for the instrument and period ordered.
Do ticks represent executed trades?
Bid/Ask files record quote updates: the Bid is the buying price and the Ask is the selling price. A quote does not mean that a trade has actually been executed.
What is the difference between Bid/Ask and Midpoint?
The Bid/Ask format preserves both prices and allows you to track the spread. The Midpoint is calculated as (Bid + Ask) ÷ 2. It simplifies certain analyses but is not a guaranteed execution price. The Midpoint is the price halfway between the Bid and the Ask: Midpoint = (Bid + Ask) ÷ 2 Tick format: this calculation is performed for each quote update, using the associated Bid and Ask. Minute format: Midpoints are grouped by minute. Open is the first Midpoint, High is the maximum, Low is the minimum and Close is the last Midpoint. Highs and lows are calculated from the Midpoints themselves. The Midpoint remains a theoretical intermediate price, with no guarantee of execution at that price. A backtest should also account for the spread, fees and slippage.
What file formats are supplied?
Data is delivered in text files, including CSV. A Bid/Ask file may contain the columns Date, Time, Bid, Ask, Volume. The exact columns, delimiters and conventions depend on the format ordered.
Which time zone and timestamp precision do you use?
The Forex Bid/Ask offering described here uses UTC timestamps with millisecond precision. UTC does not change with daylight saving time. However, timestamp resolution does not guarantee either one quote every millisecond or millisecond-level latency measurement.
What do Forex timestamps represent?
Forex data is timestamped in UTC, to the millisecond. The timestamp is the native quote timestamp supplied by the market or source, rather than the time at which the data is received or recorded in our systems. Only futures data may be offered with microsecond or even nanosecond timestamps, depending on the market and dataset.
Why can several quotes share the same timestamp?
Several quotes can occur within the same millisecond and share the same timestamp. They remain in their chronological quote order. Millisecond precision describes timestamp resolution, rather than a fixed frequency of one quote per millisecond.
Why do several ticks share the same time or occur at regular intervals?
Several observations may share the same timestamp. Regular intervals alone do not demonstrate interpolation. For our raw Bid/Ask offering, received observations are preserved without fixed-interval resampling or additional price filtering.
What does the Volume column mean?
It should not automatically be interpreted as executed trading volume. Depending on the file, it may represent a quote update count, quoted liquidity or a placeholder value. Its definition and units should be checked for the selected format.
Can historical data contain gaps?
Yes. Missing data may correspond to a market closure, an absence of quotes or a source interruption. The first and last dates in a file do not guarantee uninterrupted coverage between those dates. Apart from these cases, Forex data contains no gaps.
Is the data guaranteed to be error-free, and can all corrections be traced?
No historical dataset can be guaranteed completely free of errors or omissions. Files reflect the historical version available when they are prepared; they do not provide an exhaustive log of successive source publications, corrections and revisions. Report any anomaly by specifying the symbol, date, time and affected lines.
How are Minute Bid/Ask bars constructed?
Bid and Ask prices are aggregated separately into Open, High, Low and Close. Their extremes may occur at different times: subtracting the Bid high from the Ask high does not necessarily produce a spread that was actually observed. Check whether the selected file timestamps bars at the start or end of each interval.
How far back does the data go?
Coverage depends on the symbol and format. Some Forex series date back to 2003, and USD pairs to 1996, but these start dates do not automatically apply to every pair or to XAU/USD. Check the catalogue dates or contact us for exact coverage.
How large are Forex files?
A complete historical dataset in TXT or CSV format ranges from 2 to 40 GB, depending on the currency pair. Allow sufficient disk space for downloading and storage.
How is the data delivered and updated?
Files are supplied via a cloud download link. Your order covers the instruments, formats and periods purchased; subsequent updates are a separate service. File use and sharing are governed by the selected licence.
How are Forex bars timestamped?
Forex bars are timestamped at the beginning of the period (begin of bar). For example, a one-minute bar timestamped 09:00:00.000 includes quotes from 09:00:00.000 through 09:00:59.999 inclusive, up to but excluding the start of the next minute.
What are the Forex quoting hours?
Our Forex data covers continuous quoting, 24 hours a day, from Sunday at 21:00 GMT through the following Friday at 21:00 GMT, except for exceptional feed interruptions. No quotes are available on Saturdays.
May I store and process the data within my company and use it in a private workspace with an AI assistant?
Yes. The data may be stored and processed on a desktop or laptop computer within your company. It may also be used in a private workspace, including with a hosted AI assistant, by a maximum of five authorised internal users. The data must not be accessible to third parties, redistributed or made available through a public-facing service. Results of calculations performed on the data may be shared.