How to enforce the same time-period when downloading FX and forwards?

biblioteca01
biblioteca01 Newcomer
in Eikon Data APIs

Hi,

I want to extract daily spot and forward FX data at the exact same time of the day. It seems that ek.get_timeseries is not using standardized time and I want to enforce that.

I am using the code:

ek.get_timeseries(RICs, fields, start_date, end_date, interval = "daily")

However, for a simple example of "EUR=" and "JPY=" we see different times for their CLOSE:

1711124230516.png


I have seen a similar question asked here however there is no accepted answer and people say this data is standardized but, as the above example shows, probably isn't. I have to get a lot of currencies, for the past 24 years. I also need to get the sport and the 1-month forwards, i.e. "EUR=" and "EUR1MV=". Therefore, I need to find a robust way of downloading this data.

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  • raksina.samasiri
    raksina.samasiri admin
    Answer ✓

    Here's the resolution from the case, for reference,

    I collaborated with our Account Specialist and made some comparisons in chart for Daily VS Hourly. Rest assure that close gets 5PM NY / 21:00 GMT Value:

    Correct samples:

    CAD= 1.3529 Mar 21 17:00 (5PM) NY Bid
    CAD= 1.3529 Mar 21 21:00 GMT Bid

    GBP= 1.2656 Mar 21 17:00 (5PM) NY Bid
    GBP= 1.2656 Mar 21 21:00 GMT Bid

    JPY= 151.61 Mar 21 17:00 (5PM) NY Bid
    JPY= 151.61 Mar 21 21:00 GMT Bid

    For EUR, there were instances wherein values is rounded up to three decimals

    Mar 21
    EUR= 1.086 Mar 21 17:00 (5PM) NY Bid
    EUR= 1.0858 Mar 21 21:00 GMT Bid (1.0858 rounded up to three decimals is 1.086)

    image

    Tried other dates e.g. Mar 20

    EUR= 1.0918 Mar 20 17:00 (5PM) NY Bid
    EUR= 1.092 Mar 20 21:00 GMT Bid (1.0918 rounded up to three decimals is 1.092)

    1711348163098.jpeg

    Tried another one. Other dates for EUR are fine (screenshot is in the sub-comment)

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