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I have tick-by-tick data of an asset X denominated in EUR and minute-by-minute data on EURUSD. If I wanted to convert my tick-by-tick data to USD would it make sense to just consider every bucket of one minute in X and convert it using EURUSD? That is, every tick within a one-minute bucket would be converted at the same rate.

Also, assuming I wanted to aggregate data to 1h, should I consider only the last price of every hour of EURUSD? An alternative would be to do a simple average, I can't to VWAP as I don't have the volumes.

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    $\begingroup$ This would work, at least for some purposes. It would give you an imperfect but reasonable view of the price of the asset in EUR. But whether it is adequate for the purpose depends on what you are trying to do. $\endgroup$
    – nbbo2
    Jun 28, 2020 at 11:23
  • $\begingroup$ would having access to tick data of EURUSD necessarily give me a better estimate? Since I would have to deal with the asynchronicity of tick data $\endgroup$
    – apocalypsis
    Jun 28, 2020 at 16:55

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In this situation I'd do some form of linear interpolation. A numerically simple example:

  • assume EURUSD at 11:00 is 1.5000 and at 11:01 it is 1.5060, therefore each second EURUSD increases by 0.0001.
  • Presumeably with your tick-by-tick data you have a timestamp, so say at 11:00:30 asset X is 100 EUR and at 11:00:30 EURUSD can assumed to be 1.5030 ( 1.5 + 30 x 0.0001 ).
  • Therefore at 11:00:30 asset X's value in USD is 100 x 1.5030 = 150.30 USD.
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