Message: 1
Date: Sat, 12 Nov 2005 18:35:06 +0530
From: Ajay Narottam Shah <ajayshah at mayin.org>
Subject: [R-sig-finance] Is oanda.com data trustworthy?
To: R-sig-finance <R-sig-finance at stat.math.ethz.ch>
Message-ID: <20051112130506.GT11451 at lubyanka.local>
Content-Type: text/plain; charset=us-ascii
The EUR/USD currency market is very liquid and the data should be very
sharp.
But I see big differences between data on the US Federal reserve
website and data on http://www.oanda.com (accessed using
tseries::get.hist.quote()).
Here are some examples:
US Fed oanda
31-Oct-05 0.833681 0.8293
1-Nov-05 0.833472 0.829
2-Nov-05 0.828706 0.8325
3-Nov-05 0.835352 0.8286
4-Nov-05 0.845451 0.8374
When expressed as 100*log(p2/p1), the returns look like this:
US Fed oanda.com
2005-11-01 -0.02507268 -0.03618163
2005-11-02 -0.57346603 0.42130667
2005-11-03 0.79877448 -0.46956922
2005-11-04 1.20170199 1.05643239
These differences seem huge to me! E.g. on 3 November, the US Fed says
that returns were +0.798% and oanda.com says it's -0.469%.
Here's the exact get.hist.quote incantation:
get.hist.quote("USD/EUR", provider="oanda", start="2005-10-31", end="2005-11-04")
trying URL 'http://www.oanda.com/convert/fxhistory?lang=en&date1=10%2F31%2F2005&date=11%2F04%2F2005&date_fmt=us&exch=USD&exch2=&expr=EUR&expr2=&margin_fixed=0&&SUBMIT=Get+Table&format=ASCII&redirected=1'
Content type 'text/html' length unknown
opened URL
.......... ...
downloaded 13Kb
2005-10-31 2005-11-01 2005-11-02 2005-11-03 2005-11-04
0.8293 0.8290 0.8325 0.8286 0.8374
What should one do?
-- Ajay Shah ajayshah at mayin.org http://www.mayin.org/ajayshah