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

[davidr@rhotrading.com]

Yes, OandA data are trustworthy. They are very careful in capturing all
the data they can (that's a lot!) and processing it very carefully. But
you have to read carefully what they are telling you about the numbers
you are seeing! :-) (Read An Introduction to High-Frequency Finance by
Michel Dacorogna, et al., to get an idea.)

The big things to look for in treating OTC markets are timing, source,
and price type. OandA, the US Fed, and the Bank of England (or any other
source you have) give data for different times, different sources, and
different "averages". Many researchers try to focus on a single-point
source (say Reuters or Bloomberg feed) so the data are timestamped
consistently, pick a particular time (say London 10 am or NY 2 pm), and
quite often use just bid prices (or both bid and ask.) Any averaging
across time or prices (like mid) changes the statistics, but if you know
what you are dealing with, you can probably take it into account, at
least partially, and it may make for smoother data series.

and just to rag on it again, EUR/USD is the number of US dollars per
Euro, the usual way of quoting this pair, currently around 1.1700 .


David L. Reiner
Rho Trading
 

> -----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 Ajay Narottam Shah
> Sent: Saturday, November 12, 2005 7:05 AM
> To: R-sig-finance
> Subject: [R-sig-finance] Is oanda.com data trustworthy?
> 
> 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&dat
e=
>
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
> 
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