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

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biblioteca01

1 ●0 ●0 ●1

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:

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.

eikon eikon-data-api #content forex

1711124230516.png (448.3 KiB)

Mar 22 at 04:27 PM

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Jirapongse Apr 01 at 10:17 AM

@biblioteca01

Hi,

Thank you for your participation in the forum.

Are any of the replies below satisfactory in resolving your query?

If yes please click the 'Accept' text next to the most appropriate reply, and then close the question. This will guide all community members who have a similar question.

Otherwise please post again offering further insight into your question.

Thanks,

AHS

aramyan.h Apr 08 at 10:52 AM

Hi,

Please be informed that a reply has been verified as correct in answering the question, and marked as such.

Thank you,

AHS

Answer 1 · 2024-03-25T06:28:09Z

raksina.samasiri

14.2k ●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)

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)

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)

Mar 25 at 06:28 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

raksina.samasiri Mar 25 at 06:28 AM

here's the screenshot

1711348107569.jpeg (63.6 KiB)

Answer 2 · 2024-03-25T05:20:04Z

Jirapongse

79.2k ●251 ●52 ●74

@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.

Mar 25 at 05:20 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

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