Hi,

Consider a chunk of tick data (as downloaded from JForex into a CSV file, and imported into a DB):

Time                          Ask           Bid            AskV  BidV
14JAN08:02:49:30   0.8955   0.8953   2   2.4
14JAN08:02:49:31   0.8955   0.8953   2   2.4
14JAN08:02:49:31   0.8955   0.8953   2   2.4
14JAN08:02:49:31   0.8955   0.8953   2   2.4
14JAN08:02:49:32   0.8955   0.8953   2   2.4
14JAN08:02:49:32   0.8955   0.8953   2   2.4
14JAN08:02:49:32   0.89555   0.89535   3.1   4.1
14JAN08:02:49:32   0.89555   0.89535   2   4.1

This may be a general Forex tick data format question, or may be specific to Dukascopy. (I don't know.)

As my first question, I would like to know how to interpret the evolution of values in the AskVolume and BidVolume columns. For example, what does it mean that we get 6 bid/ask quotes with the same exact values of Ask/Bid/AskVol/BidVol of 0.8955/0.8953/2/2.4 ? Is this because different FX brokerages supply these different quotations? I would expect that for the same set of Ask/Bid/AskVol/BidVol values, the rows would not repeat - so my first question is, what is the reason they are repeated (even within the same second)? Is this because there were 6 different market participants, each of them wanting to sell exactly 2 contracts of this pair and buy 2.4 contracts? Or does each record reflect cumulative bid and ask volume?

The second, related, question is, when we observe the Ask volume change from 3.1 to 2 (for the same Bid/Ask of 0.89555/0.89535), does it mean that the *current* volume of available for sale contracts has decreased from 3.1 to 2? Or should I add 3.1+2 to get the total available Ask volume?

Third question, how to know when the Trade occurred? I am used to working with NYSE TAQ tick data, where there are separate tick records (marked with "T") for Trades, as opposed to Bid/Ask quotations (which are marked as "Q"). The Dukascopy tickdata appears to only have bid/ask quotes, but not trades. A change in bid/ask volume, which we have just discussed above, may occur due to two factors: (1) a trade; (2) withdrawal of the order. Therefore, one can only guess whether it is case (1) or (2).

Thank you,
Serge

See: viewtopic.php?f=65&t=23869&p=29542#p29542
No, in JForex you can't track trades of other participants. We provide bid/ask quotes only.

1. Is this JForex-specific, or a general issue with how currency markets are organized (no centralized exchange, etc, etc). Sorry if this is a naive question, I am learning.

2. After carefully reading the link you referred me to, I still don't understand the following detail: in the example of the quotes that I provided, there are several lines, each line having *exactly* the same date/time, bid/ask and bidvol/askvol. Why isn't it just one line? (in other words, if no change occurred, why did the server decide to add a new line?)

Because each line denotes one tick, not a trade or set of trades. Even if there is no movement in the market, the tick still does arrive. In your given sample, it just might be that for 6 ticks in a row there is one OFFER for 2.0 and one BID for 2.4 in the market, waiting for their price condition to be met and there is no other movement in the market that affects the prices.