Unlike standard brokers that only provide standard M1 (one-minute) or hourly data, Swiss-based Dukascopy Bank provides true tick-by-tick market data. This granularity introduces several distinct advantages for quantitative analysts. Real Interbank Liquidity
The versatility of Dukascopy's data is matched only by its utility. The of this high-quality data are vast:
Data is in .csv or .hst formats, which may require manual conversion or third-party tools to work with MT4/MT5 .
The data is stored on public servers organized strictly by time variables: dukascopy historical data exclusive
By analyzing tick data, you can study market microstructure and liquidity. You can examine how spreads vary across different times of day and around news events, analyze volatility patterns, and identify periods of thin liquidity that could be problematic for a strategy.
October 26, 2023 Subject: Analysis of Dukascopy Historical Data Availability, Access Methods, and Competitive Advantage
: Historical archives for major currency pairs extend back 15+ years . Unlike standard brokers that only provide standard M1
: Forex majors (like EUR/USD and GBP/USD) stretch back cleanly to 2003 . Commodities and indices generally begin around 2011 .
Global benchmarks including the S&P 500, NASDAQ, DAX, and FTSE.
Once decompressed, the raw binary file exposes a continuous array of 20-byte structs. Every 20 bytes represents a single market tick, structured as follows: Offset (Bytes) Description 32-bit Integer Milliseconds passed since the start of the hour 4 - 7 32-bit Integer Ask Price (Multiplied by a point factor, e.g., 100,000) 8 - 11 32-bit Integer Bid Price (Multiplied by a point factor, e.g., 100,000) 12 - 15 32-bit Float Ask Volume (In millions of units) 16 - 19 32-bit Float Bid Volume (In millions of units) How to Extract and Convert Dukascopy Data The of this high-quality data are vast: Data is in
The prevailing market bid price, scaled identically to the ask price.
Dukascopy is a Swiss-regulated bank. Unlike offshore brokers that might act as market makers against their clients, Dukascopy operates as an ECN (Electronic Communication Network). Their historical data reflects true interbank liquidity rather than a "dealing desk" simulation. If your strategy survives a backtest on Dukascopy data, it has a higher statistical probability of surviving live market conditions.
| Feature | Yahoo / Alpha Vantage | Dukascopy (exclusive) | |---------|------------------------|------------------------| | Tick data | ❌ | ✅ | | Bid/Ask separated | ❌ | ✅ | | Spread calculation | ❌ (mid only) | ✅ | | Tick volume (bid/ask) | ❌ | ✅ | | Raw 1-minute OHLC | ❌ (often 1min from 5sec) | ✅ (true) | | Max history (major FX) | 5-10 years | 20+ years | | Free for all | ✅ (delayed/limited) | ❌ (tick data public, but parsing needed) |