By reviewing the tick data during previous Non-Farm Payroll releases, you can calculate the average slippage (e.g., "A market order of 1 lot slips 2.5 pips in the first second").
Researchers can analyze spread behavior, liquidity patterns, and bid-ask bounce. With tick data, you can detect periods of market manipulation or low liquidity.
If you are a programmer, you can use the unofficial jforexapi or scrape the Dukascopy JSON endpoint. However, the easiest coding method is using the dukascopy Python library:
# Example pseudo-code from dukascopy import Dukascopy
data = Dukascopy().get_instrument('EUR/USD', 'M1', start='2020-01-01', end='2020-12-31') print(data.head())
Calculate the actual spread: (Ask Price - Bid Price) / Pip Size. If your strategy trades on limit orders, you care about the Bid. If market orders, you care about the Ask.
If you want, I can:
Which would you like?
Dukascopy Bank provides high-quality historical market data, including free tick-level data for over 1,600 instruments, such as Forex, stocks, commodities, and cryptocurrencies. It is widely considered a "gold standard" for algorithmic traders due to its precision, often reaching 99.9% modeling quality for backtesting. Core Data Features dukascopy historical data
Asset Coverage: Includes 60+ Forex pairs, precious metals (Gold, Silver), indices, and oil.
Timeframes: Available from tick-by-tick data to monthly bars, with custom timeframes like 3-minute bars available through specific tools.
Data Types: Includes bid/ask prices, volumes, and historical order data.
File Formats: Data can be exported as .csv, .hst (for MetaTrader), or .json (for Expert Advisor Studio). How to Access Historical Data By reviewing the tick data during previous Non-Farm
You can retrieve data through several official and third-party channels depending on your technical needs: Forex Historical Data Feed :: Dukascopy Bank SA
Dukascopy Bank provides free, high-quality historical tick-by-tick forex data sourced from its SWFX marketplace, allowing for 99.9% modeling quality in backtests. The data, covering over 15 years, can be accessed via their web portal or JForex platform, though it often requires conversion for use in MetaTrader. For more information, visit Dukascopy.
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Top 12 Sources to Download Forex Historical Data (Free & Paid) Calculate the actual spread: (Ask Price - Bid