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hootnot / oanda-api-v20

OANDA REST-V20 API wrapper. Easy access to OANDA's REST v20 API with oandapyV20 package. Checkout the Jupyter notebooks!
MIT License
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Differences between oanda and metatrader data #134

Closed vtandrea closed 5 years ago

vtandrea commented 5 years ago

I cannot figure out why there is a difference between data retrieved from metatrader and data retrieved from oanda api.

Example, I want last close price for EUR_USD M1. Here's data from Oanda:

REQUEST: v3/instruments/EUR_USD/candles InstrumentsCandles {'granularity': 'M1', 'price': 'A', 'includeFirst': True, 'from': '2018-10-16T18:04:00Z', 'to': '2018-10-16T18:14:18Z'} MODE: ask 2018-10-16T18:13:00 1.15785 2018-10-16T18:12:00 1.15777 2018-10-16T18:11:00 1.15774 2018-10-16T18:10:00 1.15765 2018-10-16T18:09:00 1.15765 2018-10-16T18:08:00 1.15762 2018-10-16T18:07:00 1.15752 2018-10-16T18:06:00 1.15752 2018-10-16T18:05:00 1.15756 2018-10-16T18:04:00 1.15757

REQUEST: v3/instruments/EUR_USD/candles InstrumentsCandles {'granularity': 'M1', 'price': 'B', 'includeFirst': True, 'from': '2018-10-16T18:04:00Z', 'to': '2018-10-16T18:14:18Z'} MODE: bid 2018-10-16T18:13:00 1.15771 2018-10-16T18:12:00 1.15765 2018-10-16T18:11:00 1.15762 2018-10-16T18:10:00 1.15751 2018-10-16T18:09:00 1.15752 2018-10-16T18:08:00 1.15751 2018-10-16T18:07:00 1.15738 2018-10-16T18:06:00 1.15740 2018-10-16T18:05:00 1.15742 2018-10-16T18:04:00 1.15744

REQUEST: v3/instruments/EUR_USD/candles InstrumentsCandles {'granularity': 'M1', 'price': 'M', 'includeFirst': True, 'from': '2018-10-16T18:04:00Z', 'to': '2018-10-16T18:14:18Z'} MODE: mid 2018-10-16T18:13:00 1.15778 2018-10-16T18:12:00 1.15771 2018-10-16T18:11:00 1.15768 2018-10-16T18:10:00 1.15758 2018-10-16T18:09:00 1.15758 2018-10-16T18:08:00 1.15756 2018-10-16T18:07:00 1.15745 2018-10-16T18:06:00 1.15746 2018-10-16T18:05:00 1.15749 2018-10-16T18:04:00 1.15750

Here's data from metatrader:

2018-10-16T18:13:00 1.15787 2018-10-16T18:12:00 1.15792 2018-10-16T18:11:00 1.15806 2018-10-16T18:10:00 1.15807 2018-10-16T18:09:00 1.15799 2018-10-16T18:08:00 1.15811 2018-10-16T18:07:00 1.15803 2018-10-16T18:06:00 1.15801 2018-10-16T18:05:00 1.15800 2018-10-16T18:04:00 1.15787

hootnot commented 5 years ago

hi @vtandrea , during the transition from v1 to v20 I saw differences in streamingquotes. too. I asked them about this and it had to do with aggregating prices over 0.25 of a second in v20 vs. no aggregating in v1. V20 gives a lot less ticks compared to v1. You talk historical data here. I would say that it should be equal. The impression I have from it is that there are different datasources. Questions that rise: which one is right ? or are both wrong?

Since this is not a question regarding my code, you really should drop it at OANDA. If they gave you the answer, pls. post it here too