Hello

As you confirmed it earlier in this thread the historical data provided by Dukascopy is limited to best bid/ask (as per tick.getAsk() , tick.getBid())
This does not reflect the whole picture and this data is not much useful for what I am doing since I don't rely on getBid and getAsk but on the whole market depth.

Is it possible to have historical data containing the whole information present in the tick object like arrays of Bid/Ask (the ones obtained in real time by getBids() and getAsks()) and array of volumes (getBidVolumes(), getAskVolumes()) ..
Or at least is it possible to get historical data for bid/ask with values that are (at each tick) the volume weighted average value of the bids or asks present in the arrays obtained by getBids() or getAsks()

Thanks

Please elaborate in which aspect methods ITick.getBids(), ITick.getAsks(), ITick.getBidVolumes(), ITick.getAskVolumes() don't provide the necessary market depth information?

Hello

I think you misunderstood my question. I am absolutely not saying that "methods ITick.getBids(), ITick.getAsks(), ITick.getBidVolumes(), ITick.getAskVolumes() don't provide the necessary market depth information"
What I am asking is to have this market depth info in the historical data or at least to have historical data that gives weighted average volume Bid and Ask prices based on the market depth of the real time time data.
Again I repeat that you confirmed earlier that historical data provides only best Bid/Ask so the historical data does not give a picture of the market depth back in history.
Is that more clear now ?

Thanks

Sorry we don't fully understand your question, please provide a detailed example of historical data that you want to retrieve.

Hello

I think by now anybody reading this thread would have understood my question. Anyway I will give you another illustration.

When I run historical tester, the size of arrays returned by ITick.getAsks() or ITick.getBids() is always 1 (one).
This is a fact that anybody reading this thread can easily verify .
That means historical market depth is NOT AVAILABLE from Dukascopy historical data. Therefore anybody with a strategy that relies on market depth CAN NOT DO any meaningful historical testing with Dukascopy historical data.

The Bid/Ask values provided in Dukascopy historical data are only the best bid/ask values at any point of time which is not a reliable representation of the market because the best bid/ask values are only a tiny fraction of the market.

So far so good ?

OK now what I am asking is this:
Can Dukascopy enhance the historical data with a better representation of the the market . That could for instance be done by adding bid/ask values that are averaged based on volumes. That could be for instance adding to historical data two fields AverageAsk and AverageBid which would be the weigthed volume average of the ask and bid values present in the ITick.getAsks() or ITick.getBids() arrays of the live system.

Hope that clarifies. If not I need to have a live discussion with one of the Ducaskopy technical manager

Thanks

The issue has been registered.

Hello

Thank you for acknowledging this issue.
Can you please provide an estimate of when Dukascopy historical data will be enhanced with historical market depth information and made available through Jforex platform ?

Thank you

Unfortunately we cannot provide you with such functionality.
Any additional data in ITick data will significantly increase system overload.

Hello Support,

can you please provide two API functions "IHistory.getLastWeightedAverageBid(Instrument)" and "IHistory.getLastWeightedAverageAsk(Instrument)", by analogy to "IHistory.getLastTick(Instrument)" ?

Also, the link "viewtopic.php?f=7&t=156" no more exists.

Regards
AbsoluteReturner