High Frequency Data
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We provide here 5 year data samples of high frequency tick-by-tick market data.
The files contain three columns of data:
date (YYYY-MM-DD HH:MM:SS), bid price, ask price.
The files were compressed using 7zip. There are free versions of this powerful file archiver for Linux, Mac and Windows available here. For Debian Linux you can use apt-get install p7zip.
2005 - 2010
- EUR-USD zipped CSV, 125MB or mysql dump, 210MB approx. 46.6 million ticks
- EUR-CHF zipped CSV, 129MB or mysql dump, 201MB approx. 46.9 million ticks
The sample range is from September 1, 2005 to September 1, 2010.
2002 - 2007
- USD-JPY zipped CSV, 35MB or mysql dump, 60MB approx. 13.5 million ticks
- EUR-USD zipped CSV, 36MB or mysql dump, 59MB approx. 13.0 million ticks
The sample range is from December 1, 2002 to December 1, 2007.
The 2002 - 2007 sets are two datasets from 13 currency pairs analyzed in the study Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws.