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Market Statistics, US Dollar Index, other/new FX indices

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[2014-01-20 17:38:58] #1 [Go To First Post]
tobi - Posts: 351
You mentioned that you're planing to create/calculate your own Market Statistics Data Feed and that you're going to add the US Dollar Index. In case you don't already have the information, attached is a PDF that shows its calculation. As you are creating/calculating the Indices yourself, please also consider adding the following: USD, JPY, EUR, GBP, AUD, NZD, CAD and CHF are the major currencies for trading FX. It would be helpful if an Index for each of these currencies would exist. That way it could easily be determined which is the strongest and weakest currency and thus the crosspair of these currencies would be of special interest. In the attached Excel file I calculate these currency Indices. In general I used the math of the DowJones FXCM Dollar Index (also attached as PDF), but the sarting date is 01/01/2009 and the starting value of each Index is 1000, that it's different from the DowJones FXCM Dollar Index. The calculation of the ICE US Dollar Index is also included in this Excel file. Any other FX traders that find this idea useful, feel free to vote for this suggestion. Thanks!


ICE-US-Dollar-Index.pdf - Attached On 2014-01-20 16:27:12 UTC - Size: 465.3 KB - 2025 views DowJones-FXCM-Dollar-Index.pdf - Attached On 2014-01-20 16:27:19 UTC - Size: 55.29 KB - 1202 views FX-indices.xls - Attached On 2014-01-20 16:27:26 UTC - Size: 75 KB - 707 views

[2014-01-20 18:13:13] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Thank you for this. We will be looking this over. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2014-01-21 10:29:22] #3 [Go To First Post]
Trint - Posts: 112
Really looking forward to having the Dollar Index, I assume we'll have a collection of other market statistics released at the same time to get our teeth into (in a few weeks as mentioned with the $TICK going by another post). That idea of an index for each of the currencies sounds like a good idea for a backtest Tobi. Have you also looked at currency strength when pricing the various crosses in gold terms..? Thanks to Sierra Chart you can also see international flows of capital when you price various country Indices in different currencies.... so easy to do (i.e DOW in Euros). Loving the Ratio and Overlay tools. Date Time Of Last Edit: 2014-01-21 10:30:03

[2014-02-13 06:46:34] #4 [Go To First Post]
tobi - Posts: 351
Could you please give us a brief outlook when approx. the new Market Statistics Data Feed will be available. Thank you.

[2014-02-13 06:56:14] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We will do our best to get this out by the end of this week. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2014-03-13 09:47:52] #6 [Go To First Post]
tobi - Posts: 351
The FX-indices mentioned in post #1, do you consider adding these to the new Market Statistics Data Feed too?

[2014-03-13 10:00:06] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
They are done, just not released. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-03-13 10:00:24

[2014-03-16 07:51:27] #8 [Go To First Post]
tobi - Posts: 351
Dear SC-Team, thank you for adding the FX-indices in version 1108 and adding them to the documentation! I've compared the FX-indices in the charts with the calculations (for Friday's closing quotes) and realized, that only the JPY-X shows the same result (please see the attached screenshots/Excel-file). Reasons for that can be, that we used different starting quotes for 12/31/2008 or we used different calculations. The starting quotes must be way off, to show such big differences, so this is pretty unlikley. So the reason is probalbly within the calculations. A simple verification: E.g. looking at the EUR-X index, all crosspairs are lower today than on 12/31/2008 (-0,2% to -32%) except the EUR/JPY (+11,3%), thus the EUR-X should clearly be below 1000! Would you please double-check/compare your calculations with the calculations in the attached Excel-file to find out what causes these different results. Note: Please be aware, that there are two different calculations for the "value at 12/31/2008" in the Excel-file, depending on which is the base or counter currency.


SC FX-Indices.png / V - Attached On 2014-03-16 06:55:27 UTC - Size: 83.21 KB - 560 views calc FX-indices_140314.xls - Attached On 2014-03-16 06:55:34 UTC - Size: 74.5 KB - 578 views quotes_friday-close.png / V - Attached On 2014-03-16 06:55:38 UTC - Size: 15.17 KB - 541 views

[2014-03-18 05:49:46] #9 [Go To First Post]
tobi - Posts: 351
SC, please be aware of post #8. Don't want to rush you, just make sure you didn't miss it. Thank you.

[2014-03-19 08:05:05] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We did work on the calculations but we need to clear out the old historical data. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2014-03-19 08:55:12] #11 [Go To First Post]
tobi - Posts: 351
Thank you for working on the calculations. I can see, that the quotes are different now. EUR-X is correct now. JPY-X which was correct before seems to be "inverted" now. The current quote shows ~1225 should show ~687 though. The other FX-indices seem to be off too. Is there a way you can show me how you calculate the indices? I'm pretty sure the issue has to do with which is used as base or counter currency. Within the programming, isn't it possible to calculate the quotes as they are calculated in the Excel-file? Once the quotes are correct, will it be possible to create a little historical data (e.g. the last 3 month) so charts up to a 4 hour chart can be used? Date Time Of Last Edit: 2014-03-19 13:14:46

[2014-03-19 17:24:59] #12 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
More time on this will have to be chargeable. At 30 USD per hour. We definitely cannot add in historical data. there is no way that can even be done. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-03-19 17:25:18

[2014-03-19 18:40:01] #13 [Go To First Post]
tobi - Posts: 351
Ok, then historical data has to develop. Thank you for your offer. I'd be willing to pay for this. How much time do you think you'll need, to get the calculations correct? As mentioned before, EUR-X is ok now, JPY-X was ok before you made the changes. The formulars are not complicated, so it's kind of hard for me to assess what the problem is.

[2014-03-21 06:51:00] #14 [Go To First Post]
tobi - Posts: 351
With SC Historical Data service and the possibility to Export Data to Text file, I think I can "create" historical data for the new FX-indices. I'll do this with Excel and then save the file as Text file again. I'll try first for daily data (beginning at 12/31/2008) and then for intraday data (1 minute data, beginning at 01/01/2014). If this works, will you be able and willing to add these data histories to SC? Please let me know first, since this is quite a bit of work. Please also respond to post #13. Date Time Of Last Edit: 2014-03-21 07:23:18

[2014-03-21 08:01:17] #15 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We will spend time on this today. The amount of time should not be much. If it is a little more it is OK. We do not think it would be more than an hour or two. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-07-05 02:32:03

[2014-03-21 08:38:54] #16 [Go To First Post]
tobi - Posts: 351
We will spend time on this today. the amount of time should not be much. If it's a little more it is OK. We do not think it would be more than an hour or two. Sounds good! If anythings is unclear regarding the calculations, please let me know, I'd be happy to help.

[2014-03-21 14:04:22] #17 [Go To First Post]
Al SC Developer - Posts: 434
Please check the current values. We had missed the subtle calculation difference when some pairs are inverted. We will have to purge the bad data this weekend.

[2014-03-21 14:29:33] #18 [Go To First Post]
tobi - Posts: 351
Please check the current values. We had missed the subtle calculation difference when some pairs are inverted. We will have to purge the bad data this weekend. All looking correct now! Thanks a bunch for your work on this and your patience! If it was more than "a little more" time on this, please let me know.

[2014-03-21 14:56:19] #19 [Go To First Post]
tobi - Posts: 351
With SC Historical Data service and the possibility to Export Data to Text file, I think I can "create" historical data for the new FX-indices. I've been playing around with that and thought about it a little deeper but unfortunately that won't work that easy. It'd be a tremendous effort to create this data. So in the end the data will have to develop.

[2014-03-28 11:51:49] #20 [Go To First Post]
tobi - Posts: 351
I've just done "Delete All Data And Download" on each of the new FX-indices. Is is correct, that the intraday history starts at 03/26/14 at 09:15 PM EST for the FX-indices?

[2014-03-29 02:19:16] #21 [Go To First Post]
tobi - Posts: 351
Could you please add the new FX-indices to the Market Stats section in the Interactive Brokers service too. Thank you.

[2014-03-29 20:01:21] #22 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes we will. We will be doing a complete review of this thread as well. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2014-03-30 09:02:38] #23 [Go To First Post]
tobi - Posts: 351
Ok, thank you. Yet the only things to do is add them to the IB service. The quotes are all correct now and working fine. If you like you can close/delete this thread.

[2014-03-30 19:08:42] #24 [Go To First Post]
Mack - Posts: 83
@ tobi & Sierra Chart Engineering Thanks so much for adding this feature. It really blew my mind, because I wanted to do this for so long but didn't know how!

[2014-03-31 07:18:23] #25 [Go To First Post]
tobi - Posts: 351
Sorry to bug you with that, but could you tell me when approx. you will get to adding the new FX-indices to the IB service?

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