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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Bizzaro World Forex Quotes on Friday night
Author Topic: Bizzaro World Forex Quotes on Friday night (2 messages, Page 1 of 1)

matthewklein
-Interested User-
Posts: 42
Joined: May 20, 2004


Posted: Dec 24, 2005 09:22 AM          Msg. 1 of 2
On Friday nights, certain Forex pairs post bizarre bid/ask spreads that ruin my attempts at gathering and processing last-trade-prices for forex pairs. It's not simply a case like what we witness when Nasdaq marketmakers post extremely high and low bid and asks when they stop making markets. In the case of these forex pairs, the bizarre prices actually worm their way into your historical data.

Here's an example. If you request a quote for USD/HKD on Friday night (or Saturday morning) you learn that the Hong Kong Dollar last traded at 3.8775.

Last=3.8775
Bid=3.8775
Ask=3.8785

Unfortunately, that is not true. In fact the HKD traded at well over 7 all day (and all decade).

So let's say your an IQFeed Customer and you want to suck it up -- you don't want to complain about these quotes on the IQFeed forums -- you decide to be a Man about it, and figure out a way to code around this little problem. So you decide what you'll do on Friday nights is call for some historical data, and use the closing price of the last trading day as your last price. Here's what you get using daily history bars:

12/20/2005,7.7522,7.7528,7.7516,7.7526,0
12/21/2005,7.7527,7.7527,7.7518,7.7521,0
12/22/2005,7.7522,7.7527,7.7519,7.7524,0
12/23/2005,7.7525,7.7537,3.8775,3.8775,0

You see that according to IQFeed historical data, the Hong Kong Dollar dropped precipitously in one day.

Now, a similar story in minute bars:

12/23/2005 3:09:00 PM,7.7531,7.7531,7.7531,7.7531,0
12/23/2005 3:21:00 PM,7.7533,7.7533,7.7533,7.7533,0
12/23/2005 3:43:00 PM,7.7531,7.7531,7.7531,7.7531,0
12/23/2005 4:03:00 PM,7.7529,7.7531,7.7529,7.7531,0
12/23/2005 4:15:00 PM,7.7529,7.7531,7.7529,7.7531,0
12/23/2005 4:16:00 PM,7.7529,7.7531,7.7529,7.7531,0
12/23/2005 4:52:00 PM,7.7529,7.7529,7.7529,7.7529,0
12/23/2005 5:01:00 PM,7.7534,7.7534,7.7534,7.7534,0
12/23/2005 5:06:00 PM,3.8775,3.8775,3.8775,3.8775,0

The same strange effects seem to occur every week with the Mexican Peso and the Hong Kong Dollar. Weekend prices are just plain wrong, and they seem to work their way into the historical data, too. In other words, one can't rely on the IQFeed data feed to tell you what the last traded price of these currencies was, without implementing additional logic.

I understand that you are simply re-packaging feeds from forex houses. But I would ask only that you lob a request to your vendors (since you presumably have more clout than the individual retail customer like me) that they clean up the way they handle quotes over the weekends. At a minimum, DTN should not allow bad quotes into its own historical database.

Matthew

Matthew Klein

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005


Posted: Dec 28, 2005 09:11 AM          Msg. 2 of 2
Hello Matthew, You are correct that this is caused by bad data being recieved from the exchange. We have someone looking into this.

-Steve
 

 

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