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

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.

eikoneikon-data-api#contentforex
1711124230516.png (448.3 KiB)
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Upvotes
Accepted
14.4k 30 5 10

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)


1711348012867.jpeg (63.0 KiB)
1711348163098.jpeg (63.1 KiB)
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here's the screenshot1711348107569.jpeg


1711348107569.jpeg (63.6 KiB)
Upvotes
80.1k 257 52 75

@biblioteca01

Thank you for reaching out to us.

I found that you have submitted this question to the content support team and the support team has closed the case.

If you have any further questions regarding the summitted question, you can re-open the case by replying to that email. The content support team can answer this question.

Regarding APIs, as far as I know, you can't enforce time when getting the daily historical data. To get prices at specific times, you may need to use intraday data (hour or minute) instead.


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