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Re: Re: Financial Data - Currencies

  • To: mathgroup at smc.vnet.net
  • Subject: [mg106148] Re: [mg106102] Re: [mg106062] Financial Data - Currencies
  • From: "E. Martin-Serrano" <eMartinSerrano at telefonica.net>
  • Date: Sat, 2 Jan 2010 05:09:27 -0500 (EST)
  • References: <200912310818.DAA24972@smc.vnet.net> <201001011037.FAA05321@smc.vnet.net> <op.u5vnjrdotgfoz2@bobbys-imac.local>

Thank you Bob,

Here, one can get every exchange rate for the Euro against most of the 
currencies (up to 32) from 1999/4/1 to the present date. It comes in 
Excel CSV and other formats from the ECB website.

http://www.ecb.eu/stats/exchange/eurofxref/html/index.en.html

The problem is that one needs the *High*, *Low*, *Opening* and *Closing* 
trading values for the EURO/USD rate serie and not just the closing 
value as given by the ECB. The data available from WRI does not seem to 
be accurate (only two decimal positions, the gap you have showed, and 
*High*, *Low*, *Opening* and *Closing* "confusing" values, since for 
most days the four values are equal, which is imposible for at least the 
*High*, *Low* and pretty rare for the *Opening* and *Closing*. The 
candlestick charts for trade analiysys are just based in the intra-day 
differences in value of all those magnitudes.

Thanks again

E. Martin-Serrano

-----Original Message-----
From: DrMajorBob [mailto:btreat1 at austin.rr.com]
Sent: Saturday, January 02, 2010 12:30 AM
To: E. Martin-Serrano; mathgroup at smc.vnet.net
Subject: [mg106148] Re: [mg106102] Re: [mg106062] Financial Data - Currencies

> (* It works for several years span. See a good example from the David  
> Park's "Presentation" package *)

Yes, it works... if you don't mind most of the data being missing, 
including a gap of 297 days:

data  FinancialData["EUR/USD", {2000, 1, 1}];
dates = data[[All, 1]];
differences = DateDifference @@@ Partition[dates, 2, 1];
Length@dates
DateDifference @@ dates[[{1, -1}]]
{Median@#, Length@#} & /@ Split[differences, Max[##] < 6 &]

339

789

{{1, 102}, {297, 1}, {1, 235}}

DateListPlot@data

First@data

{{2007, 9, 27}, 1.42}

Your code attempts to get data beginning Dec 1 2006, but there isn't any 
until Sept 27 2007... this for a currency about which Wiki says:

"The name euro was officially adopted on 16 December 1995. The euro was  
introduced to world financial markets as an accounting currency on 1 
January 1999..."

and

"As of November 2008, with more than =E2=82=AC751 billion in circulation, the euro 
is the currency with the highest combined value of cash in circulation in 
the world, having surpassed the U.S. dollar."

Bobby

On Fri, 01 Jan 2010 04:37:07 -0600, E. Martin-Serrano 
<eMartinSerrano at telefonica.net> wrote:

> Hi,
>
> Three years span
>
> (* It works for several years span. See a good example from the David  
> Park's
> "Presentation" package *)
> ClearAll[GetFinancialData];
> GetFinancialData::usage =
>   "GetFinancialData[name, {property1,property2...},iterator] will
> generate a data set where each record will contain {datelist,
> propertyvalues..}. The iterator is the standard {start,end, period}
> used in FinancialData. This is basically a method of retrieving a
> number of property values at once.";
> SyntaxInformation[
>    GetFinancialData] = {"ArgumentsPattern" -> {_, {_, __}, _}};
> GetFinancialData[name_String, {first_String, rest__String},
>   iterator_List] :=
>  Module[{work, other},
>   work = Transpose@FinancialData[name, first, iterator];
>   other = FinancialData[name, #, iterator, "Value"] & /@ {rest};
>   Transpose[Join[work, other]]
>   ]
>
> (* Test *)
>
>  GetFinancialData["EUR/USD", {"Open", "Close", "Low",
>   "High"}, {"Dec 1 2006", "Dec 30 2009", "Day"}]
>
>
> (* Remark *)
>
>
> Works perfect. Anyway, the data so obtained does not seem to be 
> reliable, I
> mean the source does not seem to be reliable. It does not coincide with
> other series that I got fromm other sources. Does anyone know how these
> series are being generated?
>
>
> E. Martin-SErrano
> _________________________________________
>
> -----Original Message-----
> From: robert prince-wright [mailto:robertprincewright at yahoo.com]
> Sent: Thursday, December 31, 2009 9:19 AM
> To: mathgroup at smc.vnet.net
> Subject: [mg106102] [mg106062] Financial Data - Currencies
>
> Does anyone know how to get the names corresponding to the currencies
> available from FinancialData? If you use the command below you get a 
> list of
> 153 currencies - some of which are obscure so i was hoping to generate 
> the
> names!
>
> currencyTickers = FinancialData["Currencies"]
>
> Also, why does FinancialData not give historical data for say GBP/USD?
> EUR/USD works, albeit over a limited time span, so you would think the 
> data
> would be there for sterling. Several others don't work either.... perhaps
> this is a data server issue?
>
>
>
> R
>
>
>


--
DrMajorBob at yahoo.com



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