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Create my own forex data?

Posted: Wed Apr 09, 2008 10:59 am
by LeviF
If I have historical data for USD/CAD and USD/JPY, isn't it just some simple math to generate CAD/JPY? Am i overlooking anything important here?

Posted: Wed Apr 09, 2008 12:08 pm
by sluggo
Since USD and CAD are nearly 1-to-1, your math might possibly have a mistake that wouldn't be obvious in this case. Therefore I suggest you test out your math on some example problems in which no two currencies are anywhere near 1-to-1. Perhaps, JPY-ZAR-USD ?? See below:

Posted: Wed Apr 09, 2008 12:16 pm
by LeviF
Its pretty close, about 0.1% difference.

Posted: Wed Apr 09, 2008 12:30 pm
by sluggo
levijean wrote:Its pretty close, about 0.1% difference.
How many pips is 0.1%? (I'm not a forex trader and don't have this kind of information at my fingertips....)

Posted: Wed Apr 09, 2008 12:37 pm
by Tim Arnold
Here's some data of each cross currency, the actual JPYCAD and a calculated JPYCAD. Looks close, but not exact. Room for arbitrage I suppose.

Code: Select all

Date	    USDJPY	USDCAD	  JPYCAD	  Calculated
20080401	101.96	1.021500	0.010017	0.010019
20080402	102.36	1.014100	0.009900	0.009907
20080403	102.32	1.004700	0.009816	0.009819
20080404	101.60	1.009300	0.009929	0.009934
20080407	102.46	1.013400	0.009888	0.009891
20080408	102.57	1.013200	0.009874	0.009878

Posted: Wed Apr 09, 2008 12:43 pm
by LeviF
Assuming a pip on the ZAR/JPY is 0.0001, then its 130 pips.

Posted: Mon May 12, 2008 8:13 am
by LeviF
I'm trying to revisit this method. Doing the math works ok at fixed points in time like the open and close. The highs and lows are trickier because they wouldn't occur at the same point. I wonder if there is a "good enough" method?