Dukascopy provides one of the most extensive free archives in the industry, with many major pairs (like EUR/USD) dating back to 2003. This allows traders to test their systems across multiple market cycles, from the 2008 financial crisis to the 2020 pandemic volatility. Key Features of the Dataset
2. Slippage Modeling
df['imbalance'] = df['bid_vol'] - df['ask_vol'] df['imbalance_signal'] = df['imbalance'].apply(lambda x: 1 if x > 0 else (-1 if x < 0 else 0)) dukascopy historical data exclusive
- Slippage Simulation: Because the data is tick-by-tick, traders can simulate intra-bar slippage. Knowing the high, low, open, and close of a 1-hour bar is insufficient for high-frequency strategies; tick data reveals how price moved within that hour.
- Spread Reconstruction: Tick data contains the Bid and Ask prices separately. This allows for the reconstruction of historical spreads, which is vital for testing scalping strategies during news events.
- Data Integrity: As a Swiss-regulated bank, Dukascopy maintains a higher standard of record-keeping compared to unregulated offshore brokers.