How to backtest using tick data with Metatrader 4 — a review of the options available for using tick data with the Metatrader 4 platform. This is most likely not important to an expert advisor that uses stoploss and takeprofit targets of over pips, but in the case of robots that attempt to scalp a few pips here and there, your backtest could be completely misleading. Out of license reasons the software was renamed to Tick Downloader. The data is completely free, but unless you already have an account with MB Trading , you are going to have to sign up for a demo account which is of course also free.
Tick data guides
Before you ask, I favor Dukascopy due to the data quality and accessibility. Dukascopy is universally acclaimed as one of the best brokers nowadays. By far the most popular tick data source, Dukascopy offers free data spanning from for most currencies to now. From what I can tell, it is updated hourly and the source is none other than the Dukascopy data feed server.
The most convenient method to download from Dukascopy is via the Dukascopy historical data page which features a web application that lets you get the tick data for a specific time range note: You will be prompted to select the date format — you may choose whatever format you want for the date, the FXT conversion script will be able to autodetect and parse it.
Pepperstone is an ECN broker founded in , with a solid reputation and a growing client base. I never had an account with them, but I heard good things from many people that have one and I have yet to hear from an unsatisfied client. The tick data they are offering is gathered by their partner Integral , one of the leading liquidity providers.
Their data is of high quality, with spreads generally lower than Dukascopy. The oldest data available is from and the available range of currency pairs is mostly limited to the majors there are not many minor currency pairs and no metals. The data does not include the volume. The data can be downloaded at the Pepperstone tick data page or at the TrueFX downloads page , with the latter requiring registration which is free.
If you need more detailed instructions for concatenating files, please use a search engine. Together with the Desktop Pro proprietary trading platform, Metatrader 4 is available but with a lot of peculiarities such as a 10k lotsize, the requirement for a special authentication key, lots of partial fills, no expiration on orders and a daily server restart that takes some 5 minutes at 5 PM US EST.
These things aside, their spreads are very good and the commissions are decent as well. The tick data offered is top-of-the-order-book without volume and it is available for a lot of pairs: The data is completely free, but unless you already have an account with MB Trading , you are going to have to sign up for a demo account which is of course also free. The earliest available date is January Head to the MB Trading tick history download page.
What I ultimately discovered is that there is missing minute data. Though I accomodated weekends and excluded this from consideration, I did not accomodate holidays. As a result, some of the discrepancy data includes holidays not excluded. Anyone tried this folks: It seems they have free forex historical data for 66 pairs ready for MetaTrader use. I'm using and, so far so good. Through further review I have elimated some of the missing minutes.
I now have problems with 4, minutes of missing data. This spans three years of data and amounts to a 2. If anyone has more accurate data from a financial institution, I am interested. We will always miss some tickdata in real trading To me it seems impossible to get every tick from your broker.
Thanks for your reply. This though is one variable that is important in evaluating and placing reliance upon EAs. I subscribed to www. Anyways I waiting for response because livetickdata seems offline and I could download it at the end. I used Dukascopy and their volumes were OK until , back its another history. But for price only were ok from , if you dont use m1 you can use them from for major pairs.