COMMENTS
How did you get the data out of Oanda?
Hi Craig, Oanda gives the files free to anyone with $1000 or more in their Oanda account. So in one sense it is "freely available", and on the other there is some restriction.
Anyone can get the Gain Capital files.
Detailed instructions are at:
http://www.thinkingstuff.com/historical-data.aspx
Ha!, I just closed my Oanda account, crap!, they don't advertise that one do they!
What format does it come it?
Oanda offers 4 formats - comma delimited, space delimited, pipe delimited, and XML.
TS can handle the first 3 types.
Even if you don't want to subscribe to any part of TS, you can still use it to load all the text files from Oanda or Gain Capital. It will remove any duplicates.
You can then use TS to create the interval data. Once you've done all that, you can export the interval data into text files of your own, and open them up in Excel or whatever.
But I hope that after using TS to do that, you would find the other parts so useful that you just had to subscribe. Think of it as a Christmas present for yourself :-)
I assume the Oanda data is better than the Gain Capital data, the Gain Capitial data is full of holes and glitches. What is your experence?
That's right. I've only created the Hourly bars, but the Oanda charts seem nice and smooth and no gaps.
What I do with the Gain Capital data is create the Hourly bars first. That narrows the erroneous ticks, and they are quite obvious, down to a 1-hour period and makes them easier to find. Delete them, re-create the Hourly bars, repeat until smooth.
There are a couple of gaps in Gain's data, but they seemed to have improved their process in recent times.
So with all this data, and your bitchin backtester, you must have a winning stratergy by now :)
Give me a chance Craig, I've only just finished creating the Hourly bars :-)