I am downloading Forex historical data on USD/CHF (1Minute chart) from DukasCopy, which contains columns Open, High, Low, Close, Volume

enter image description here

I've just recently learnt how the price works - through the Depth of Market - a.k.a. 'Level 2 data', where agressive buying fulfills many sell limit orders. Similarly, agressive selling fulfills fulfills many buy limit orders. As I understand, these are what move the price.

What's strange for me, is this entire file is for the Ask data only. It's also possible to download a similar file for Bid data only.


1) Looking at the above image for the Ask (prices that a seller is willing to receive), Why High is so close to Low? If I interpret it correctly, High means "the highest possible sell limit order witnessed at that time". I would assume at least 1 person having a limit order sitting at some ridiculous place, like '5.1234'. The volume of 96199996.9 LOTs surely will have someone like that - thus, High should be far above Low?

2) Or is it the highest limit order that was fulfilled, not merely awaiting? (Thus it's somethng similar to 'Time And Sales' of MetaTrader 5, aka Level 1 data)

3) A total-beginner question - are these values already including the commission of a broker that provided such a historical data? (is it already embedded in these numbers? Is it a simple offset of O H L C?)

-Edit: I now think that Open, High, Low Close are prices which had the best-available limit order (non-fulfilled yet). However, in that case, why don't we then have the OpenVolume, HighVolume, LowVolume, CloseVolume. What does the "Volume" mean in our case and why does it suffice?

4) Would the Volume be more useful had I selected 'Ticks' instead of '1 Minute' data?


Responding to the answer, here is the data for Ask and Bid side by side, - we can see the volumes differ in each file:

enter image description here


Volume is the total number of contracts traded during the period (here 1 minute), so open, high, low, and close do not make sense for volume. (If this interpretation is correct, the volume data should be the same in the ask file and the bid file.) You are correct that the ask is defined as the best (lowest) unfilled sell limit order at any given time. Commissions are not included in the data -- they are a trading cost in addition to the bid-ask spread.

This way of providing data is somewhat unusual. More common is either OHLC of executed prices (which better corresponds to volume), and/or a series of the instantaneous bid and ask at a given interval (say 1 minute).

EDIT: Since the volume is not the same in the ask file and the bid file, my best guess is that each trade is being classified as "at the ask" (when a new bid immediately hits an existing ask) or "at the bid" (vice versa). Each trade can thus be counted toward "ask volume" or "bid volume" based on which of the matched ask and bid was older. The data you added show the price generally rising, which is indeed consistent with more volume at the ask.

  • Thank you @nanoman! I've check the files and the volumes are different for the same timesteps - does this conflict with you second sentence? (I've edited the question) – Kari Aug 23 '18 at 23:49

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