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

[Phineas Campbell]

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:

http://213.225.136.206/mfsd/iadb/FromShowColumns.asp?Travel=NIxAZxI1x&FromCa
tegoryList=Yes&NewMeaningId=REURX&CategId=6&HighlightCatValueDisplay=Exchang
e%20rate%20(spot)%20-%20Euro%20into%20US%20dollar

which is nice because it comes with notes:

http://213.225.136.206/mfsd/iadb/notesiadb/Spot_rates.htm


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
Kumar
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
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. :-)
>>
>>

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