IB FX Data Issue

Wu Fuheng

Wu Fuheng

Today when I was looking historical price of USD.JPY at IB, I found there was something wrong with the data.

I made a screencapture as follows. You see the USD.JPY price data after 2014-09-05 17:00:00 is missing. Instead, it gave me price data between 2014-09-07 17:00:00 and 2014-09-07 23:59:59. But 2014-09-07 is Sunday. How come it gives me data of Sunday??


I attached my screen shot here: http://quant365.com/?p=215

Please take a look and help me out.
 
IB's "ECN" quotes prices until Friday 5pm EST and resumes quoting on Sunday 515pm. Thats why there is a gap and that is why the next quote after Friday 5pm is Sunday 515pm (should be 515pm not 5pm as you indicated). Hope that helps.
 
basics of spot fx markets (though in spot fx OTC land things are not always straight forward) plus checking with your broker/data provider usually helps :) (Double click on a currency pair within your IB TWS and you shall see)...


Wu Fuheng said:
Thanks. But how do you know that? Is there any document on this?
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