|
| April Fool's anomaly in USDJPY data |
|
Isak
|
| Post subject: April Fool's anomaly in USDJPY data |
Post rating: 0
|
Posted: Wed 18 Jun, 2014, 17:12
|
|
User rating: 6
Joined: Thu 19 May, 2011, 11:14
Posts: 235
Location: South Africa,
|
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!)  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?
| Attachments: |
USDJPY anomaly.png [11.14 KiB]
Downloaded 572 times
|
|
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on
this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control
on their content. Anyone accessing this webpage and downloading or otherwise making use of any document,
data or information found on this webpage shall do it on his/her own risks without any recourse against
Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from
the use and/or reliance on any document, data or information found on this webpage.
|
|
|
|
|
|
 |
|
Isak
|
| Post subject: Re: April Fool's anomaly in USDJPY data |
Post rating: 0
|
Posted: Thu 19 Jun, 2014, 08:35
|
|
User rating: 6
Joined: Thu 19 May, 2011, 11:14
Posts: 235
Location: South Africa,
|
|
Can anyone confirm whether they see the same anomaly in their history?
|
|
|
|
|
|
|
tcsabina
|
| Post subject: Re: April Fool's anomaly in USDJPY data |
Post rating: 0
|
Posted: Sat 21 Jun, 2014, 20:36
|
|
User rating: 164
Joined: Mon 08 Oct, 2012, 10:35
Posts: 676
Location: NetherlandsNetherlands
|
|
Do you still see this after clearing the cache?
|
|
|
|
|
|
|
Isak
|
| Post subject: Re: April Fool's anomaly in USDJPY data |
Post rating: 0
|
Posted: Mon 23 Jun, 2014, 09:54
|
|
User rating: 6
Joined: Thu 19 May, 2011, 11:14
Posts: 235
Location: South Africa,
|
|
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.)
|
|
|
|
|
|
|
tcsabina
|
| Post subject: Re: April Fool's anomaly in USDJPY data |
Post rating: 0
|
Posted: Thu 26 Jun, 2014, 08:27
|
|
User rating: 164
Joined: Mon 08 Oct, 2012, 10:35
Posts: 676
Location: NetherlandsNetherlands
|
|
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...
|
|
|
|
|
|
|
Isak
|
| Post subject: Re: April Fool's anomaly in USDJPY data |
Post rating: 0
|
Posted: Thu 26 Jun, 2014, 13:16
|
|
User rating: 6
Joined: Thu 19 May, 2011, 11:14
Posts: 235
Location: South Africa,
|
|
Hi tcsabina,
Thanks, I would appreciate that!
So does your platform show no tick data before April 2007?
Isak
|
|
|
|
|
|
|
tcsabina
|
| Post subject: Re: April Fool's anomaly in USDJPY data |
Post rating: 1
|
Posted: Fri 27 Jun, 2014, 12:17
|
|
User rating: 164
Joined: Mon 08 Oct, 2012, 10:35
Posts: 676
Location: NetherlandsNetherlands
|
|
|
|
|
|
|
tcsabina
|
| Post subject: Re: April Fool's anomaly in USDJPY data |
Post rating: 1
|
Posted: Fri 27 Jun, 2014, 13:13
|
|
User rating: 164
Joined: Mon 08 Oct, 2012, 10:35
Posts: 676
Location: NetherlandsNetherlands
|
Caching finished. Haven't checked if tick data is available, just checked the period you were using (5 min). Same issue: 
| Attachments: |
USDJPY.png [36.69 KiB]
Downloaded 531 times
|
|
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on
this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control
on their content. Anyone accessing this webpage and downloading or otherwise making use of any document,
data or information found on this webpage shall do it on his/her own risks without any recourse against
Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from
the use and/or reliance on any document, data or information found on this webpage.
|
|
|
|
|
|
|
|
Platform Support
|
| Post subject: Re: April Fool's anomaly in USDJPY data |
Post rating: 0
|
Posted: Mon 30 Jun, 2014, 17:12
|
|
| JForex Master |  |
User rating: ∞
Joined: Wed 16 Sep, 2009, 18:23
Posts: 1054
Location: Geneva, Switzerland
|
|
|
|
|
|
|
Isak
|
| Post subject: Re: April Fool's anomaly in USDJPY data |
Post rating: 0
|
Posted: Mon 17 Nov, 2014, 22:03
|
|
User rating: 6
Joined: Thu 19 May, 2011, 11:14
Posts: 235
Location: South Africa,
|
|
Could you please let us know in this thread once this is fixed?
|
|
|
|
|
|
 
|
Pages: [
1
]
|
|
|
|
|
