Thus, let us see the table containing all the data. Although Yahoo!
- Realtime Data Amibroker Metastock and MT4 For Equity-Future-Commodity-Currency Forex.
- GOOGLEFINANCE.
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So if this concerns you a lot, you will have to look at alternatives or even paid solutions. The result is Quandl became a sort of "search engine" for numerical data. Quandl delivers all its data in standard form, so you find your desperately needed data fast and use it out of the box.
Quandl has indexed 2 million financial and economic time-series datasets, including 85 global stock market indexes; spot and futures prices for 70 commodities and 10 commodities indexes; 60 futures contracts with prices, commitments, and historical and continuous contract data; exchange rates against US dollar for currencies; and global overviews which provide snapshot data for key stock indexes, commodities prices, interest rates and exchange rates.
Quandl offers a lot for free but also has paid premium services, the most premium data do have sample data you can use for free. Check this for all data available and whether it is free or paid premium. As your requirements for data sets increases, you will find that the historical data provided by free resources to be incomplete. It is at this point where you would look for paid solutions.
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Depending on your budget and requirements, there are a plethora of options. Let's look at a few ones in depth now. Alpha Vantage can be said as a new entrant, considering the fact that they were founded in and are a part of the accelerator Y combinator. Alpha Vantage is creating APIs from aggregated data from all kinds of financial information sources into one centralized place and allows users to share the data with other users.
They also use supervised machine learning algorithms that continuously improved the data quality based on user feedback. In other words, the more users of Alpha Vantage, the more intelligent the system grows. Through this, the constant feedback of data allows more information to be brought into the cloud.
They support stocks, foreign exchange and crypto historical data, technical indicators , and sector performance. The main goal of the TwelveData project is to create a single place where all Pythonistas will get instant access to all financial markets and its analysis only with a few lines of code. We will try to accomplish something similar as we did with Yahoo! Finance API. As was the case with the free solutions, there are also a lot of alternatives to Twelve Data and Alpha Vantage, a non-exhaustive list would be:. Note : All the sources mentioned in this blog are to be viewed as examples only.
We do not endorse them and nor should we be held responsible for any issues with respect to the data quality or correctness of the data that they offer. The greatest differences are free or paid, stable API or not, quality of data, the amount of asset types they provide and the size of the datasets. This website uses information gathering tools such as cookies and other similar technologies. By clicking 'Accept' on this banner or by using this website, you consent to the use of cookies unless you have disabled them.
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It is at your, the user's, discretion to proceed with accessing this website. By clicking on Signup, you agree to the Terms and conditions. Click Here to trade. Temporary Password will be sent to your Mobile No. Get notified for Latest News and Market Alerts. Not Now Enable. This website uses cookies.. Day's Range Ex. In short, when you buy futures you pay for the future spot price today. When you buy options call or put you pay for the right without the obligation. This is the essential difference between the pricing of currency futures and currency options.
Before we get into the nuances of pricing of currency futures, let us understand that the currency future is a derivative transaction. You must have also observed that the futures price of the currency instrument moves in sync with its underlying. If the underlying price falls, so would the futures price and if the price of the underlying increases then the futures price also goes up.
However, the underlying price and the futures price differs and they are not really the same. They only converge on the date of expiry, which is the last business day of the month when the RBI reference rate is used to settle transactions. But during the month, the spot price and the futures price are different.
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This is the live data that we have taken from NSE. But is there a theoretical model to price currency futures. In the above case you will see that the cost of carry is higher as the maturity goes farther. That is because the major carrying cost in currency futures is only the interest cost as unlike in commodity you do not have to worry about costs like storage, insurance, demurrage etc.
Let us now look at a formula for pricing of futures. Of course, when we are pricing the futures of a stock or index, we deduct the dividend yield but in case of currencies there are not dividends involved and hence it is only the risk free rate that matters.
NSE Currency Futures
This gives the theoretical price of the currency futures price and the actual currency futures price will vary based on a plethora of domestic and global factors. When we talk of cost of carry and futures pricing, we need to understand about gross cost of carry, net cost of carry and basis. These 3 concepts are fundamental to the understanding of the pricing of futures. Let us start off with a basic lesson on futures. Futures are derivative product, which means the value of the derivative is derived from the value of the underlying. In other words, the futures price of the USDINR is nothing but the expected spot price after a particular tenure which could be 1 month, 2 months, 3 months or 6 months.
Why is there a difference between the spot price and the futures price and why does the futures price keep differing as the expiry becomes longer? This difference can be understood through two simple pricing models for futures contracts viz. However, remember that these models merely give you platform on which to base your understanding of futures prices. That said, being aware of these theories gives you a feel of what you can expect from the futures price of a stock or an index.
Cost of Carry Model assumes that any asset has a cost of carrying. For example, when you carry equities, there is demat charges and there is the opportunity cost of your investments locked up. In case you are holding commodities, then it gets a lot more complicated. All these will go into cost of carry.
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What happens in case of currency future? Since these currency futures are cash settled in India, there is no scope for any physical costs. Hence the only cost involved is the interest or opportunity cost and the transaction cost if any. What does this mean for pricing of the futures contract? It means that the price of a futures contract FP will be equal to the spot price SP plus the net cost incurred in carrying the asset till the maturity date of the futures contract.
What about carry returns? We already understood carry cost; let us also look at carry return.
Carry Return refers to any income derived from the asset while holding it like dividends, bonuses etc. While calculating the futures price of an index, the Carry Return is the average returns given by the index during the holding period. A net of these two is called the net cost of carry. However, currency futures contract does not pay dividends anyways and hence carry returns will not be applicable in case of currency futures contract on the USDINR. The formula can be represented as under:.