Every broker is different. On IBFX I get an average 150 ticks/minute (morning ET) * 8 hours = 72000. Some other brokers give less than 20 ticks/minute same time..
I am new in this, but I read in a high frequency trading book that the EURUSD price could change up to 20000/min in the London section. I dont remember is is 20000/min or 20000/hour, or 20000/sec
20k/hour = 333/minute. I said 150/minute AVERAGE. A peak of 2X is certainly reasonable. And your run created 4x, certainly reasonable.
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Hello Guys,
I collected this data from yesterday London and part of New York trading section, expecting to be a big big file, using this:
these are some values from matlab
{ 0.5*(Bid+Ask) }
{
{1.43109},
{1.43108},
{1.43123},
{1.43105},
{1.43106},
{1.43106},
{1.43105},
{1.43106},
{1.43106},
{1.43106},
{1.43106},
{1.43107},
{1.43109},
{1.43112},
{1.43111},
{1.43105},
{1.4311},
{1.43118},
{1.43118},
{1.43117}
why the data acquired length is only 321255 tick-rates for more than a day runing the script?
bests,