Where Do I Get Forex Historical Data?

I've had a bunch of inquiries on where I obtain my forex historical data so I figured it's best to address it right here.  

In my 2+ years of backtesting experience, I've found a variety of forex historical data providers.  Some have been good, some bad.  I have only paid for historical data once and it was cheap, $134.99 cheap.  The major issue with this data is that it's indicative and has holes.  For those of you that don't know what indicative data is, it's data compiled from multiple providers so the prices could reflect either the median or average price.  This is not a true reflection of what's going on when you're trading.  Indicative data in my opinion is useless.  Unfortunately, you'll find this mostly in Foreign Exchange since their is no centralized exchange.  If you're really interested in this data, you can find it at http://disktrading.is99.com.

The ultimate goal is to find forex data that is not indicative.  A decent source is at Gain Capital where you can download historical tic data from 2000-present.  It's a whole lot of data since it's tic but it's not indicative so it's useful.  The major issue is that it's going to take you a long time to download (Gain throttles bandwidth I believe) and clean it up.  This is from someone I received an email from today but his issues were the following:

1. Some of the files were stored in 16bit unicode and not UTF8
2. Spans of data overlaps
3. 2005 is possibly missing chunks
4. Somewhere in 2006, the CSV started using quotes at random which broke his parser

Like I said, it's going to take you a lot of time to get this data in a usable format but it's not bad.  You can find it at ratedata.gaincapital.com (Gain capital is forex.com)

Another decent provider of free forex historical data is at Forexite.  This data is also not indicative and spans back to 2001.  It's 1-minute OHLC data (Open, High, Low, Close.)  The only minor issue with this data is that it's in GMT +1.  Your backtesting has to take this into consideration.  All I did was write a script to convert the time to EST once it was imported into the database.  The time zone differences can get confusing sometimes and I didn't want this to get in the way of my actual backtesting logic.  Interested?  You can find this data at http://www.forexite.com/free_forex_quotes/forex_history_arhiv.html.

Another option is to export the data right out of Metatrader from whatever broker you connect to.  The only issue with this is that the intraday data doesn't go back more than 2 years at the most. 

Once I have all the forexite data imported into a database for the 17 different currency pairs, I'd think about offering it out to the public for download but this wouldn't be until after it's been checked for holes.  

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