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??).