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Does anyone have a view on the quality of the timestamping of GAINCAPITAL's free historical data.

There is non-FX data there and I wonder if the timestamps are in sync?

chrisaycock
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ManInMoon
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  • @chrisaycock I see you edited out my question about why a downgrade. I am still confused why this is happening. I would appreciate it if you could throw a little light on that for me. Then I can frame the question in a better way for you. – ManInMoon May 19 '13 at 08:16
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    I didn't downvote you. I rolled-back your question because you edited it to leave a comment asking why you were downvoted. You aren't new to Stack Exchange; you know by now that questions do not have comments asking why they were downvoted. Stop doing this. – chrisaycock May 19 '13 at 13:24
  • How can I improve my question - if I am not told the reason for a downvote? I am trying to learn. – ManInMoon May 20 '13 at 09:00

2 Answers2

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I composed Gain-Capital's historical data files into one series for back-testing a while ago and too noticed that they are out of order.

Each CSV file contains correctly ordered data points but it seems the CSV files are out of order (maybe wrongly named).

I went for another source in the end.

If Index A comes in at 12:00:01.001 and Forex B comes in at 12:00:01.001 - did they in reality arrive at the same moment?

I work at one of the largest market data providers there is. Out of experience I can asure you that there's is always a time-skew between two data-sources.

This skew is due to mainly 2 factors:

  1. Number of intermediary provider/consumer pairs in the data supply chain

  2. Network and computation latency

Even high-profile market data providers struggle with this and often the output-quality is not as good as you would expect.

Some providers will try to align different data sources by aggregating them over a period of 15 minutes before output - this is called "delayed" data-quality.

Are you willing to share what you other source of data is?

See this answer.

Community
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thwd
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  • My issue is more whether I can compare tick from different sources. If Index A comes in at 12:00:01.001 and Forex B comes in at 12:00:01.001 - did they in reality arrive at the same moment? Tom - are you willing to share what you other source of data is? – ManInMoon May 20 '13 at 09:02
  • I have edited the answer. – thwd May 20 '13 at 13:43
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We gave up on using Gain's data in the end and partnered with FXCM to provide our FX data. We tidied and timeseries ordered it through our IDE.

Disclaimer - I'm a founder at QuantConnect.com

Jared Broad
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