Interpreting Gain FX Tick IDs and Dealable Flags
Summary
The document explains two fields in a Gain foreign exchange tick dataset: an identifier at the start of each record and a final letter flag. The accepted response describes the identifier as a vendor-assigned unique tick ID that can distinguish multiple messages sharing a timestamp. It interprets “D” in this dataset as indicating that a quote is dealable, meaning a trade could take place; the response also notes that Gain may not provide dealable prices around major news events.
The answers caution against assuming identical field meanings across vendors. In cited EBS data, D is described as a deal and Q as a quote, a different convention from Gain’s dealable flag. One answer infers from headers that the ID is a tick identifier but says its construction is undocumented, and warns that IDs may not sort consistently with timestamps. Since the discussion relies on vendor-specific observations and incomplete inspection of sample files, users should verify field definitions and ordering against their own data documentation.
Key ideas
- The Gain dataset’s leading field is described as a unique vendor tick identifier.
- The final D flag is interpreted as dealable, indicating that a trade could take place.
- Field meanings are vendor-specific: the document describes a different D/Q convention for EBS data.
- The identifier’s construction is unclear, and its ordering may not match timestamp order.
- The answers recommend checking the dataset’s headers and records rather than assuming conventions.
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Full text
# FX Tick Data question # FX Tick Data question Anyone can tell me what the first column and the last column in this FX tick dataset mean? The first seems like some kind of ID, and what D in the last column mean? 368412956 AUD/CAD 12/30/2007 17:00:03.000 0.8598 0.8604 D 368413005 AUD/CAD 12/30/2007 17:00:58.000 0.8599 0.8605 D 368413022 AUD/CAD 12/30/2007 17:01:06.000 0.8600 0.8606 D 368413102 AUD/CAD 12/30/2007 17:01:37.000 0.8599 0.8605 D 368413110 AUD/CAD 12/30/2007 17:01:42.000 0.8601 0.8607 D 368413262 AUD/CAD 12/30/2007 17:03:55.000 0.8602 0.8608 D ## Answer by Shane (score 9, accepted) https://quant.stackexchange.com/a/941 The first column is just a unique id tagged by Gain; this allows you to separate multiple messages that come in with the same timestamp. D means "dealable": this means that a trade could take place. According to this thread, Gain is known for not dealing around events like major news announcements. [Note: In EBS data, which is much more reliable, "D" means "deal" (or trade) while "Q" means "quote". This is an entirely different meaning from in the Gain data.] ## Answer by Karol J. Piczak (score 5) https://quant.stackexchange.com/a/940 Looking at the original headers for some recent data we have something like this: ``` lTid cDealable CurrencyPair RateDateTime RateBid RateAsk ``` So `D` would seem to be "dealable", but to be honest I couldn't find an example of a `non-D` value in the files (I haven't looked thorougly though), so I don't really get it. The cryptic ID, is a tick identifier, but no information is given as to how it is really constructed. I assume it should be automatically incremented on every incoming tick (across any currency). If that's true, then the actual data seems to be sorted by `date/time` column (if you look at some recent files, some ticks occur with equal time and are out of order when comparing IDs). So you should verify it first. Unfortunately, I couldn't find anything better on this.
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