can I ask you where am I doing something wrong when downloading high-frequency (5-min) S&P 500 data ("USA500.IDX") from https://www.dukascopy.com/swiss/english/marketwatch/historical/ and when looking into the downloaded .csv the prices seems to be ten times higher than in reality?

Thanks a lot for your reply! :)

Edit1: as mentioned below in the comment, an example can be my last download: in downloaded file: "USA500.IDX_Candlestick_5_m_BID_19.03.2015-21.03.2015.csv", the close price on 20.03.2015 23:55 is 21068.00 USD.

Edit2: it seems that the data are really incorrect; Do you know about any other source of 5-min data covering period of e.g. 4 years for any index? (I will also check other frequencies on dukascopy.com and if they will be OK I will try to convert that into 5-min data, but just asking before doing that)

Edit3: Can I ask you what does this mean: Point value* 0.01 USD *-For CFD the point is the second decimal digit in a price quote ( https://www.dukascopy.com/swiss/english/cfd/range-of-markets/ ) Can this explain my question?


  • 2
    $\begingroup$ Just downloaded a sample of the data. Everything looks good to me. Remember this is a CFD index not the SPDRS SPY which represents 10% of the S&P 500 index. @andrew $\endgroup$ – Rime Mar 21 '15 at 1:29
  • $\begingroup$ @Rime, thank you for your reply. I have just downloaded this file: "USA500.IDX_Candlestick_5_m_BID_19.03.2015-21.03.2015.csv", where the close price on 20.03.2015 23:55 is 21068.00 USD. Is that OK? $\endgroup$ – Andrew Mar 21 '15 at 7:10
  • $\begingroup$ That is very weird. Like I mentioned i got the correct output when I downloaded it. You can maybe try downloading a higher frequency like 1-minute intervals & check if they are correct ... If they are they can be easily converted to 5-min intervals using R @andrew $\endgroup$ – Rime Mar 22 '15 at 22:58
  • $\begingroup$ Thanks @Rime, I just wanted to check whether I am doing something wrong or the data are incorrect. So, does it mean that the conclusion from this is that the data are incorrect (at least for 5-min freq.)? $\endgroup$ – Andrew Mar 23 '15 at 11:05

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