Forex - MoneyShow.com

complicated to integrate, if you have the granularity
of data, market participants will go miles to read your
data. As such, we make every possible effort to
facilitate the integration and reading/usage of our data
- presenting it in a way that is at least user friendly
and industry standard.”
The firm has had examples where clients require a
type of format that they would not accommodate in
the normal course of business, and not in a format
that is usually presented to people consuming data.
Kohler says: “They’ve still been happy to take the data
in any format that we could provide.”
Thomson Reuters’ Doe speaking on formats reveals that
the firm does come across a lot of different
infrastructures. “This accounts for why we provide it in
pretty much a common CSV format, which is the
standard format loaded into any database
infrastructure,” he says. “However, we do try to be as
open as possible and always accommodate client needs.”
Cleaning and customisation
In relation to FX data services and solutions available
to help sort, clean and customise FX data,
Bloomberg, ICAP (EBS) and Reuters Dealing are
among the leaders in the expertise they can offer
clients. With the FX market very well split, each of
these players has their respective segments.
ICAP’s solutions are usually pre-packaged depending
on what sort of package the client orders, with
different levels of service available to be purchased.
Sourcing and integration of historical pricing data for FX applications
Kohler adds: “If you buy real-time services from us,
these are graded under three levels, while the
historical data package is graded to five levels.”
According to Brittan, one of the advantages that
Bloomberg data has is that since the organisation
spend a great deal of effort on quality controlling and
cleaning the data, clients can avoid this task.
By contrast, Doe says that many of Thomson Reuters’
clients - particularly FX proprietary trading clients -
are often obsessive and “very particular” about how
and what they want to clean in terms of data.
He adds: “If we clean the data for them it may be
wiping out a potential source of alpha for them, as a
result of the way in which we cleanse. And, many of
our clients are keen to only clean it [data] themselves
so that they can ensure what has been cleansed.” For
these players receiving raw, unadjusted or unsorted
data is critical in not harming their ability to make
serious money.
Bloomberg publishes many derivative time series,
including realised volatility, skewness, and kurtosis
[from the Greek meaning a measure of the
‘peakedness’ of the probability distribution of a realvalued
random variable], GARCH volatility, fixings,
analyst forecasts, currency strength indices, PPP parity
levels, and total/carry return indices, alongside raw
market data. Adds Brittan: “This provides our users a
tremendous depth of available tools for their analysis.
Bloomberg's CIX function is an additional very
powerful tool for creating custom indices.”
FXall’s Foster says: “Internally we have our own
proprietary algorithms for cleaning data in real time.
We believe it’s critical to have a robust methodology
to determine unbiased prices that clients find reliable
and use as many rate sources as possible, removing
outliers to produce a consistently usable data set.”
Conclusion
Guessing may be fatal in FX trading. Sophisticated
traders and trading desks cannot disregard
fundamental and technical data analysis to ultimately
secure their investments and retain a stable level of
profit. At the same time there is no sense trusting
money to a trading system without total thorough
testing of it with a wide and full range of historical
data. This is why reliable and error-free historical data
are essential for an adequate technical analysis and
successfully verifying trading strategies. The data
cannot and should not be full of spikes or gaps.
january 2010 e-FOREX | 73