Topic: OANDA Tick Data

Hi everyone,

Just wanted to know if anybody has had success using Oanda historical tick data with Forex Strategy Builder?

Thanks

Re: OANDA Tick Data

The program is equipped to handle data from Dukascopy...... you will notice that 'tick' data is not available as a time frame........ however we do use Dukascopy tick data in support of the regular Metatrader time frames if the trader wishes to do so.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

3 (edited by Sam M. 2012-04-13 21:30:51)

Re: OANDA Tick Data

It's possible, you'll have to edit the data to conform with FSB's requirements though. (in other terms, make it identical in format to Dukascopy data once you've downloaded it from Oanda)

It's something I'm currently considering myself given Oanda's pretty extensive offering of data, just a matter of a time investment.

There's a number of threads here in the forum where you can find good information on data formatting and so on, running a search should net some good resources.

Regards

Re: OANDA Tick Data

Can you explain what the advantages would be to using data from Oanda...... as opposed to Dukascopy...

If there is a significant advantage, I am sure that Popov would consider accomodating Oanda data somehow.. as he did with Dukascopy.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

5 (edited by Sam M. 2012-04-14 05:21:24)

Re: OANDA Tick Data

My reasoning in looking into it was that because data feeds differ by brokers, the tick by tick data might also vary significantly between brokers for any given period.

So someone using Oanda as a broker would benefit from tick data coming directly from the data feed on which they're trading, and the same for someone using the Dukas. data etc.

Whether or not this difference between ticks by data feed actually exists, and if it does, whether or not it actually results in significantly different trading results when backtested upon I don't know (perhaps it would provide a more accurate representation of how that broker's feed behaves during news events, and so on)- which is why running the test seems beneficial.

If anyone else has already given this a try or has any further insight and wouldn't mind posting it, it'd be greatly appreciated.

Re: OANDA Tick Data

Because the program is already set up for Dukascopy, can you not use their data..... what is the advantage to Oanda data?

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

7 (edited by Sam M. 2012-04-15 08:41:09)

Re: OANDA Tick Data

Bottom line really: Oanda tick data could yield more accurate/relevent results for someone trading on an Oanda platform. Dukascopy tick data could yield more accurate/relevent results for someone trading on Dukascopy.

It's just a thesis, but if it does yield even a small advantage/difference as far as backtesting is concerned, then it would seem to be worth considering.

Using data specific to the broker which you're trading on would seemingly yield testing results which more accurately reflect the results you'll receive in live trading using that broker.

In other words, if there's commonly a small price difference (and this could become more pronounced during news trading etc.) between the data from one broker and the data from another, then the price movements reflected in the tick data (notwithstanding the spread) would be different. So using the data from your broker would mean that you're testing on a data set which is more in tune to what you'd be running trades on.

This would be especially true if the feed from one broker tended to behave a certain way during big news, or peak hours, or down time and so on-- and the feed from another broker behaved in a different way. One feed could perhaps react more sharply or quickly than another to price changes due to the amount or type of liquidity available to the broker for example.

As far as I'm concerned it's just a theory or thought at this point until I get around to testing it. Again if there are others who have more experience with this it'd be great to hear from you.

Re: OANDA Tick Data

How do we acquire Oanda data and what are the formats? There is no problem to make Oanda Data Import tool to FSB.

9 (edited by Sam M. 2012-04-15 23:42:31)

Re: OANDA Tick Data

Here's their ticks format:

(notepad)

2/1/2004 9:22:00,106.88,106.91
2/1/2004 9:22:00,106.89,106.92
2/1/2004 9:23:00,106.88,106.91
2/1/2004 9:23:00,106.88,106.91

(excel)

2/1/2004 9:22:00    106.88    106.91
2/1/2004 9:22:00    106.89    106.92
2/1/2004 9:23:00    106.88    106.91
2/1/2004 9:23:00    106.88    106.91

I can offer the data through something other than excel or notepad if that's helpful just let me know.

An import feature for the data would be fantastic. To get the data unfortunately however you have to be an account holder at Oanda. So perhaps this would only be helpful then to a few users here. You put in a request from the account management screen for whatever pair and time period you want and they send you the prepared file within a day or so.

The offering is good. Their ticks for majors go back into the 1990's.

Again as far as the qualitative differences with Dukas tick data I can't say at the moment as I haven't yet tested on it, although I plan to soon.

Re: OANDA Tick Data

This might be great for the FSB community based on the most competitive spreads offered by Oanda.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

11 (edited by Sam M. 2012-04-16 04:51:41)

Re: OANDA Tick Data

The default file names are bizarre, not that it's truly relevant except for the sake of convenience. Could be random or a function of their delivery database. This is the unchanged name for a Jan/01/2012-Jan/31/2012 ticks file:

502C1FF14E8BAA47F08A2A17FDCBC241

Re: OANDA Tick Data

maybe attach one file so that Popov can test with it.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: OANDA Tick Data

Can you upload somewhere data files for the major symbols. lets say 1-2mil ticks per file.
Is there bar data or only tick data?
Do we need to filter out some weekend data?
If only tick data are provided, we have to compile bar data from them.

I can make a separate converter tool easily. If it works well we can include it in FSB.

Re: OANDA Tick Data

I added an Oanda Import tool to FSB:
Download link: Forex Strategy Builder v2.69 Beta

This is only the exe. You have to put it in Forex Strategy Builder working folder.

Features:
- import tick data;
- imports bar data;

There is a WiKi help page about: Oanda Data Import

http://forexsb.com/wiki/_media/fsb/manual/oanda_data_import.png

Please test and comment.

15 (edited by Sam M. 2012-04-20 00:57:24)

Re: OANDA Tick Data

Many thanks to Mr. Popov for following up with this.

A good deal of time that would have been spent formatting data may be preserved for other profitable endeavors!

Re: OANDA Tick Data

Thank You Mr Popov. This is a very good source of data.

Re: OANDA Tick Data

Please report if it works properly since I do not have access to Oanda data.

Re: OANDA Tick Data

Hi Popov Oanda import does not seem to work properly on the altest version of the Forex strategy builder.

Once I select the file and then enter the symbol nothing happens. Nothing comes up in the imported data section.

I would then click on import and again nothing happens.

What's the next step??

Thanks for your response.