[R-sig-finance] Is oanda.com data trustworthy?
kriskumar at earthlink.net
Sat Nov 12 16:15:59 CET 2005
Does Oanda provide an indication of how the closing price in a market
that never closes is computed ?
I think it would be best to use quotes/trades at the most liquid time of
the day (for EUR/USD around a.m. EST) if available.
Ajay Narottam Shah wrote:
>>But as you know, FX markets operate 24hrs, and are broker-based implying that
>>there will be a) different quotes throughout the day and no "final" one and
>>b) different sources may well disagree about quotes at one point [ though
>>arguably not by the margin you show there ]. Oanda may report London fixings
>>whereas the US Fed probably calls up US banks and end-of-day US time.
>I was aware of the 24hour issue. I thought it may lead to some clear
>leads and lags. Read on.
>>As for the question above, maybe time to test some Granger causality between
>>Oanda and the FED sources. :-)
More information about the R-sig-finance