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Aongus:
Well, since the best long-term data [existing pre-1980] was kept by
sources like the New York Fed, most cash traders called the 'start' of
the trading day in 24 cash charts as the start of trading in New York.
And then New Zealand, Australia, Hong Kong and Tokyo markets became
actively traded and so the start of trading then became the New
Zealand opening [which happily coincides with the close of New York].
The source of FX data depends on what frequency and what length of
data and what currencies you are seeking. When selecting a source, if
possible, don't rely on one bank, but rather try to get a blending,
which in the cash market simulates the effect of what you'd get from
the exchanges.
Tim Morge
aogorman@xxxxxxxxx wrote:
>
> Hi All,
>
> Most testing we do is on equities and futures contracts that are exchange
> traded and as such have universally accepted open, high, low, close
> numbers. Backtesting Forex markets is much more difficult for two
> reasons a. conventions as to when exactly a currency cross opens and b.
> available sources of forex data.
>
> Does anyone have any opinions on the either of these points or perhaps
> could anyone point me in the direction of sources of historical forex
> data?
>
> Kind Regards,
>
> Aongus O' Gorman
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