2
$\begingroup$

Good morning, I apologize for my poor english, I'm not an expert and I need your help...

do you know how daily prices are calculated on Yahoo Finance Historical data? Let me give you an example, if you visit the EURUSD

https://finance.yahoo.com/quote/EURUSD%3DX/history?p=EURUSD%3DX

Nov 24, 2020
open 1.1842 close 1.1843

where do they get the open price and the close price? what are the daily market open/close hours?

I've also checked the chart but the daily prices are different

Thanks in advance for your help Luigi

$\endgroup$
2
  • 1
    $\begingroup$ I don't use Yahoo Finance. In the US, the "closing price" for stocks is 16:00 New York Time and for FX 17:00 NYT. These currently correspond to 21:00 GMT and 22:00 GMT. Check the charts (which are in GMT) to see if I am right. $\endgroup$
    – nbbo2
    Commented Nov 27, 2020 at 10:39
  • 1
    $\begingroup$ Thanks for your reply, if I understand correctly what you're saying, the open price refers to the price at 22:00 GMT of Nov 23, 2020 and the close price refers to the price at 22:00 GMT of Nov 24, 2020, correct? I've checked the chart but unfortunately the prices are different from those reported in the Historical Data $\endgroup$
    – Luigi
    Commented Nov 27, 2020 at 11:01

2 Answers 2

4
$\begingroup$

You can directly look up the data providers on the yahoo website: the source for fx rates is ICE Data Services. enter image description here

With regards to ICE, you can look these details up on their website.

IC Markets’ server time and charts are GMT + 2 or GMT + 3 (when daylight savings is in effect). The trading hours for all currency pairs is 00:01 server time to 23:59 server time daily (23:57 on Friday).

With regards to where ICE gets quotes from, they in turn do what everyone else does with OTC traded assets - get the quotes from a list of marker makers (brokers, banks etc).

Depending on your needs, you may find this question and its answers interesting as well.

$\endgroup$
1
$\begingroup$

I tried to compare yahoo finance forex quotes against hourly quotes I acquired from some other data source. I shifted data hour by hour and measured correlations between them. Surprisingly, the results was something like this:

1 0.17399579680260843
2 0.17174534599697275
3 0.1724193820726977
4 0.173302277889905
5 0.1697194571445255
6 0.1710380711284467
7 0.17187410234699604
8 0.17376885695820282
9 0.17406428850983652
10 0.17523373864433653
11 0.1767224252391929
12 0.17432116338486367
13 0.1733483024200405
14 0.1737490827039034
15 0.17601770673011952
16 0.17591043025073533
17 0.17483328529712452
18 0.17663713501578154
19 0.17806894073024032
20 0.1782321236667205
21 0.17640520058823586
22 0.17552573539690403
23 0.1742427964578035

Umm...maybe I made some mistake. I don't know. hehe. I stopped investigation here so I really don't know what's going on. (or maybe I made some mistake while I was tweaking data).

So...as far as I know, yahoo quote didn't match any price on the reference data.

Usually when I compare two different financial quotes under these circumstance I can get 0.9 something correlation coefficients. So I believe yahoo forex quote is the price from "nowhere". I suspect it is average price or something (Because there is no explicit "Open" or "Close" in forex market. Have you checked the price in "Open" and "Close" columns? it's almost the same or pretty close for most of the part in the dataframe...as you see, it's impossible).

I think yahoo finance is one of the best (free or cheap) source of daily financial data for stocks, ETFs, futures but when it comes to forex quote, I recommend you to look for some other places (Plus, one question...Assume that you want "daily bar" data for some currency pair, what kind of "daily bar" you want? I mean, which timezone? On Monday, which hour it should "opens" and which hour it should "close" on Friday? It should be 24 hours for each bars? or adjusted somehow??).

$\endgroup$
2
  • 3
    $\begingroup$ You can only compare OTC prices if they are from the same source and the same methodology. Even with the same provider you will see different rates for the same FX pair and day/time, because the results will be based on your settings and choice of composite. See for example this answer. $\endgroup$
    – AKdemy
    Commented Jul 19, 2022 at 18:15
  • $\begingroup$ It only matters when you're interested in super high-frequency strategies or something I guess. Typically, the difference of forex rate between brokers is small. When I investigated this topic couple of years before, I noticed there were huge difference after NY session. But bid-ask spread was also too large to extract some profit during such time period. I don't know about real trading farm or something though...we're amateurs after all...broker's data is usually enough. $\endgroup$
    – Stranger
    Commented Jul 24, 2022 at 16:45

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.