Hi Sander, DukasCopy and FXCM also offer such data and I have downloaded data from both on different occasions. I can write something custom for you if you would like.

@Georgios: thank you for the offer but it's something I want to do myself. Of course there will be changes in the API in the future and then I have to be able to update the code.

You have a web address that you access data from? What is LMAX? This is data about specific publically held companies, such as price history or financial statements? Thanks, David

@David: LMAX is based in the UK and is a MTF for Forex and Commodities. Turns out that if you have an account, you can email them and they send you information on how to retrieve a zip file with sample codes and documentation.

I did quite a bit of work on this 2-3 years ago. It worked well, IG also I believe provide this

Yeah, lots of brokers do. You can also buy data from various data-only suppliers, like Barcharts and Interactive Data. They each have some sort of API, usually these days some kind of REST-based thing.

yep. i did this. they provide sample apps. (they also have c#) with very few modifications is easy to get started

Both yahoo and msn provide information about stocks and it is free. Price histories and other basic data can be brought directly into Excel with macros. Good luck. Did you find the help you are looking for? Thanks, David

I have used Interactive Broker not LMAX. I think Java API are similar in principal

https://www.interactivebrokers.com/en/index.php?f=1286

you could find tutorial API

Quality of spot FX data varies quite a lot depending on the source and whether it's been rolled up into a bar or not. Sometimes in rolling up the bars, the data provider will introduce certain biases - an example of this is the 1M bars from histdata.com

You need to be aware that when it comes to spot FX data there is no single price for spot, it's a highly decentralized OTC market. Many liquidity providers will also stream customised data to clients e.g. only firm liquidity or no last look prices, which may have an impact on the data you see between historical and realtime. Some providers will specialise in "retail" flow, where you'll be seeing very different spreads vs. the data you'll get from a professional or institutional feed.

You may want to check out the following sources for free tick by tick historical spot fx data:

http://ratedata.gaincapital.com/

http://www.truefx.com/?page=downloads

Yes, Mr Sarda is quite correct, there's F/X market data and there's F/X market data... What you will get from LMAX will differ considerably from what you'll get from say Barcharts (which is some sort of filtered synthesis of different providers I presume). If you are doing backtesting of algos you are advised to use the production data feed that you will trade on, as even demo feeds of the same provider can be radically different! You'll also find that, because there really are few regs on Spot F/X, that any IB will often interpose their own slippage, reject orders, or increase the spread, and they often do it selectively (even some FCMs/LPs will do some of this too). Beware, its not a 'friendly' market and everyone is looking to stack the deck on you! So whatever data you have THIS week, if you start making money your quotes will look different NEXT week, sadly.

FXCM has some unique data on aggregated FX Retail positions if you do some hunting, or perhaps some emails.