I have been having problems with historical fx rates that I have downloaded via the MT4 platform (OANDA).
Basic problem:
I download two series, AudJpy 5 min intervals and ChfJpy 5 min intervals.
I get the starting dates and times to line up perfectly. i.e. both series start at 04.01.11 at 16:55.
If you look at each entry in the data series they both move in 5 minute increments for a while, then all of the sudden one series will have an extra value.
ex. AudJpy time series is like this 16:55: 17:00, ...., 18:05, 17:00, 18:10,...
and the ChfJpy time series is like this 16:55: 17:00, ...., 18:05, 18:10,...
There are extra times in some of the series that cause the dates and times to no longer sync, I cannot find any pattern to them so I cannot write code to fix the problem.
Has anybody ever experienced this issue before? BTW I am using R to line up the datasets and I can post my code if necessary.
Basic problem:
I download two series, AudJpy 5 min intervals and ChfJpy 5 min intervals.
I get the starting dates and times to line up perfectly. i.e. both series start at 04.01.11 at 16:55.
If you look at each entry in the data series they both move in 5 minute increments for a while, then all of the sudden one series will have an extra value.
ex. AudJpy time series is like this 16:55: 17:00, ...., 18:05, 17:00, 18:10,...
and the ChfJpy time series is like this 16:55: 17:00, ...., 18:05, 18:10,...
There are extra times in some of the series that cause the dates and times to no longer sync, I cannot find any pattern to them so I cannot write code to fix the problem.
Has anybody ever experienced this issue before? BTW I am using R to line up the datasets and I can post my code if necessary.