Inferring highest bid and lowest ask from forex trade data

External question — Quantitative Finance Stack Exchange Author: Matt Bell Original post: https://quant.stackexchange.com/questions/3150 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I have historical trade data for every trade on a forex exchange, whcih includes the following data: Time the trade was made Amount, in currency A Price, in currency B I have also used this to organize the data into candlestick data for periods, which includes: Volume in currency A Volume in currency B Low price Open price Close Price High price Number of trades How will I be able to use the data I have to infer the highest bid or lowest ask at a certain point in time? Also, is there any way I will be able to guess the volume of the high bid/low ask orders? This won't be a perfect solution because I don't have access to historical market depth.

External answer — Quantitative Finance Stack Exchange Author: alpha Original post: https://quant.stackexchange.com/a/3151 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. what you are trying to do is not recommended; especially in FX market. here is why: - The spread changes depending on time of day and trading venue. - FX market is based on quotes. What you see is not what you get. This also depends on the broker you are using. - FX market changes all the time; hence the spread today; may be different than same day last year. I suggest you gather statistics on the spread variance; and use the worst case scenario as a fix spread for all your data. You cannot infer the volume in FX market. It also depends on time of day; and all the stuff listed above.