Exploring high resolution foreign exchange (FX) data

QuestDB is an advanced database optimized for managing high-frequency financial market data, offering significant benefits such as exceptional ingestion throughput, sophisticated SQL analytics, and hardware efficiency. This open-source tool is especially suited for handling tick data, as demonstrated in an analysis of intraday foreign exchange (FX) data from TrueFX, which provides detailed insights into market behavior by capturing every tick at millisecond resolution. Accessing such high-resolution data can be challenging due to restrictions, but platforms like TrueFX offer historical data for analysis. The dataset, composed of contributions from various financial entities, allows for comprehensive analysis of market movements and trends. QuestDB's functionality, including mid-price smoothing and advanced join techniques like LT JOIN and ASOF JOIN, enables users to analyze currency arbitrage opportunities and trading costs. The article also explores spread analysis and the correlation between different currency pairs using functions like spread_bps and regr_slope, highlighting the impact of market liquidity and trading dynamics on spreads. Overall, QuestDB facilitates robust and flexible analysis of financial tick data, providing valuable insights into market trends and trading strategies.