[R-sig-finance] Is oanda.com data trustworthy?

[Ajay Narottam Shah]

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