I'd say the best,(certainly the most cinematically and visually impressive) film about Romanies is Time of the Gypsies,by Kusturica.The Welsh film,Endra(2001)is a pleasant and unusually positive tale of a young Romany girl in North Wales.Romanies have been much persecuted(their suffering in the Nazi holocaust has been largely neglected)and deserve a more positive cinema representation, i think 