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

Phineas Campbell pcampbell at econ.bbk.ac.uk
Sat Nov 12 17:19:18 CET 2005

There must be an official fixing for the options market to price from.  Also
at any given time there will buy and sell prices.

Given that 31% of Gloabl FX trading occurs in London I would use Bank of
England data:

which is nice because it comes with notes:

HTH Phineas

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch]On Behalf Of Krishna
Sent: Saturday, November 12, 2005 3:16 PM
To: Ajay Narottam Shah
Cc: R-sig-finance
Subject: Re: [R-sig-finance] Is oanda.com data trustworthy?

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
>>there will be a) different quotes throughout the day and no "final" one
>>b) different sources may well disagree about quotes at one point [ though
>>arguably not by the margin you show there ]. Oanda may report London
>>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
>>Oanda and the FED sources. :-)

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