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April Fool's anomaly in USDJPY data
 Post subject: April Fool's anomaly in USDJPY data Post rating: 0   New post Posted: Wed 18 Jun, 2014, 17:12 
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After hours of bug searching trial and error, I found out that this historical data was messing with my backtests: (the price is off by more than 5000 pips for over an hour!)

Image

On the tick chart, the price jumps all the way down to 0 after the weekend and then gradually comes back to its normal level over the course of the first two hours of the week.

Is there any explanation/background behind this?


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 Post subject: Re: April Fool's anomaly in USDJPY data Post rating: 0   New post Posted: Thu 19 Jun, 2014, 08:35 
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Can anyone confirm whether they see the same anomaly in their history?


 
 Post subject: Re: April Fool's anomaly in USDJPY data Post rating: 0   New post Posted: Sat 21 Jun, 2014, 20:36 
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Do you still see this after clearing the cache?


 
 Post subject: Re: April Fool's anomaly in USDJPY data Post rating: 0   New post Posted: Mon 23 Jun, 2014, 09:54 
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I don't want to clear historical tick data as I have downloaded about 25GB of it, and bandwidth is low in South Africa. Could you check if you go to the date 1 April 2007 22:00 GMT what the USDJPY data looks like for you?

(This is not the first time I find huge anomalies in Dukascopy data (confirmed by others) but if confirmed it would be the first time in an instrument as prominent as USDJPY. Note price goes all the way to *zero* on this date, and takes a few hours to get back to normal.)


 
 Post subject: Re: April Fool's anomaly in USDJPY data Post rating: 0   New post Posted: Thu 26 Jun, 2014, 08:27 
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Hi,

You could rename the .cache directory, so you won't loose the existing data...

There is no tick data available before 2007 April. Maybe the first data we have from April 2007 is not accurate? Just guessing.

Still waiting on my platform to 'cache' USDJPY for April 2007 to see how it looks on my side. Will post the result...


 
 Post subject: Re: April Fool's anomaly in USDJPY data Post rating: 0   New post Posted: Thu 26 Jun, 2014, 13:16 
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Hi tcsabina,

Thanks, I would appreciate that!

So does your platform show no tick data before April 2007?

Isak


 
 Post subject: Re: April Fool's anomaly in USDJPY data Post rating: 1   New post Posted: Fri 27 Jun, 2014, 12:17 
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Hi,

Some topics about tick data before 2007:
viewtopic.php?f=65&t=23946&p=29435&hilit=2007#p29435
viewtopic.php?f=81&t=48444&p=72272&hilit=2007#p72272

and it seems the issue has been registered already:
viewtopic.php?f=85&t=50608&p=77934&hilit=2007#p77934


My platform still 'caching' (had to restart it yesterday).


 
 Post subject: Re: April Fool's anomaly in USDJPY data Post rating: 1   New post Posted: Fri 27 Jun, 2014, 13:13 
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Caching finished.

Haven't checked if tick data is available, just checked the period you were using (5 min). Same issue:
Image


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 Post subject: Re: April Fool's anomaly in USDJPY data Post rating: 0   New post Posted: Mon 30 Jun, 2014, 17:12 
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We are working on this.


 
 Post subject: Re: April Fool's anomaly in USDJPY data Post rating: 0   New post Posted: Mon 17 Nov, 2014, 22:03 
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Could you please let us know in this thread once this is fixed?


 

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