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Real spread on Dukascopy Tick Data

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mikeyc

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5 years ago #114840

Hi all,

 

Just something I’ve noticed about the spread (real) on the Dukas tick data, if (like me), you use real spread rather than fixed spread. 

 

Below is GBP/USD in MT4 loaded using Birts Tick Data Suite, using Dukascopy raw tick data.

 

Before about 2008, the spread looks synthetic, each 24 hrs the spread values are the same “shape” as the previous 24 hours. It is like the spread has been artificially created onto the data. Every minute of each day has the same spread as the spread on that minute of each day, it’s a carbon copy over and over again.

 

 

After some point around 2008, it is clear the spread is representive of what happened in the market that day, each day looks different.  There are spikes where economic news is released, every day is unique in terms of spread values.

 

 

I tend to work on scalping strategies (1000’s of trades) so this difference is important to me.  Just a heads up, I’m sure others will say it makes no odds, that’s all good and fine, just so everyone knows the spread is not realistic on older data.

 

Cheers,

 

Mike

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Patrick

Customer, bbp_participant, community, 424 replies.

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5 years ago #135777

Hi Mike,

 

you are saying that TDD has wrong real spread values till 2008 at GBPUSD or more currencies? do i understand it right?

 

Patrik

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mikeyc

Customer, bbp_participant, community, 878 replies.

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5 years ago #135779

Hi Patrick,

 

Well it’s actually the Dukascopy data that TDD downloads, that has artificial spread. So it’s not a bug or problem with the data downloader, it is a problem with the actual source data.

 

If you are making scalpers I would say don’t build/test with data before 2008 as it does not reflect real spread conditions accurately.

 

Mike

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Patrick

Customer, bbp_participant, community, 424 replies.

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5 years ago #135780

Thank you for sharing this!

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