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Interesting. As someone with a lot of data experience, and in particular including financial data (trading team in a hedge fund) I definitely prefer the column
by tomp 3y ago
Interesting.
As someone with a lot of data experience, and in particular including financial data (trading team in a hedge fund) I definitely prefer the column format where each currency is its own column.
That way it's very easy to filter for only the currencies I care about, and common data processing software (e.g. Pandas for Python) natively support columns, so you can get e.g. USDGBP rate simply by dividing two columns.
The biggest drawback of `eurofxref-hist` IMO is that it uses EUR as the numeraire (i.e. EUR is always 1), whereas most of the finance world uses USD. (Yeah I know it's in the name, it's just that I'd rather use a file with USD-denominated FX rates, if one was available.)
- dist-epoch 3y agoNot sure what you mean by "most of the finance world", but in forex trading the EUR/USD rate is denominated exactly as in this file - 1.066 for today and not the inverse 0.094.
- tomp 3y agoright, I mean quant trading - i.e. where people actually use data :D you want things relatively standardised, which means using a common unit of account - for most funds AFAIK that's USD
- nly 3y agoThis is my experience as well. Everything is expressed as 'number to multiply by to get USD' so USDJPY would always be used in-house inverted. British firm as well. Nobody likes the GBP.
- fastasucan 3y agoAre you really asking for the european central bank to not use its own currency?
- andylynch 3y agoBut why would the ECB publish its Euro fixings in some other currency?