The only thing I can think of, if you need Bid, is to grab "" via . I can't say for sure how much data you can get, but I was able to grab data for EUR.USD for May 9, 2022 (a little more than 7 month ago). You'll get a lot of data (up to 300 ticks per second or more) but it should be pretty straight forward to assemble 1min bars from that
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..., {
??? "tsInS" : 1652079971,
??? "bPrice" : 1.05073,
??? "bSize" : 2000000,
??? "aPrice" : 1.05075,
??? "aSize" : 2000000,
??? "attr" : 0,
??? "type" : "BidAsk"
? }, {
??? "tsInS" : 1652079971,
??? "bPrice" : 1.05074,
??? "bSize" : 1000000,
??? "aPrice" : 1.05075,
??? "aSize" : 2000000,
??? "attr" : 0,
??? "type" : "BidAsk"
? } ...
On Sat, Dec 17, 2022 at 08:52 PM, John wrote:
Thank you both, since I posted this question, I have noticed indeed multiple gaps.
Yes I need bid, to backtest any strategy, you need to know the spread. I backtest on ticks over the past six months as the data is provided, and then on minutes beyond that for the past 5+ years, as it is the most accurate data IB provides.
No I don't want to use any other data provider, because FX is decentralized and IB has its own prices, and on high frequency scalping it makes a huge difference, I need the very data that I would get by executing via IB in order to backtest anything properly.
I lost money in the past making the assumption that other tick data sources could generate approximately the same signals, spreads and prices, and this assumption didn't hold in actual trading.
