Historical Transactions Dataset

We have used the analytical results from the HFD of individual traders’ historical transac­tions to evaluate the collective behaviour of the agent-based models of traders in reproducing, to a certain extent, actual FX market trading activity.

The data is filtered to remove any possible un­reliable transactions in terms of the traders’ actual activity. Filtering HFD must be customized, based on the structure of the data. The primary step in the filtering procedure that we conduct relies in two things: studying OANDA’s internal system storage procedures that can affect the consistency of the data, and understanding the nature and structure of the data. The major issue concerning the dataset is the extraordinary and sudden drop of transactions flow in October 2007 with an increas­ing number of accounts. Additionally, OANDA’s system storage procedures, storing one executed order in several transactions, and internal interest payment procedures creating dummy transactions. Carrying out several filtering steps, the number of transactions in the dataset was reduced to a total of 114 million transactions. To validate the filtering process, we have tracked the individual traders’ transactions from opening to closing their posi­tions on each traded currency pair. In addition, we compared the intraday seasonality of the trading activity pattern against the reported seasonality in the literature. For a fully detailed description of the transaction dataset filtering process, refer to Masry et al. (2010).

The individual traders’ historical transactions dataset is very valuable for many reasons. Firstly, there is the existence of a large number of different traders represented by individuals, banks, central banks, hedge funds, and others. Secondly, there are a large number of high frequency trading volumes, which are rich in terms of observations, and some interesting patterns that are valuable for analysis, in order to understand the forces that drive market behaviour. Thirdly, there is the existence of different types of trades following different currencies. Finally, there is the existence of a wide variety of trading strategies, which have a great impact on the analysis and understanding of traders’ behaviour.

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