No historical dataset is perfect. When using Dukascopy historical data, you must be aware of the "Swiss National Bank (SNB) Event" – January 15, 2015.
On this day, the Swiss National Bank uncapped the CHF (Swiss Franc), causing a flash crash of 30% in seconds. Due to liquidity evaporation, Dukascopy's tick data for that day contains gaps and nonsensical spreads (spreads widened to 1000+ pips). dukascopy historical data
Advice: If you are backtesting a strategy, either exclude January 2015 or treat it as a "force majeure" test. If your strategy survives that day, it can survive anything. No historical dataset is perfect
Additionally, watch for:
Financial engineers use minute-level data to compute accurate realized volatility, Value at Risk (VaR), and other risk metrics that daily data would smooth over. Supported Instruments:
When you download Dukascopy Historical Data, you are not getting simple Excel sheets. You are typically getting a structured folder system. Here is what the raw data looks like:
Supported Instruments: