The Interpretation of EastMoney USDCNY Reference Rate Data Interface
June 15, 2016
The forex data of Sina Stock Data is realtime trading data, but USDCNY reference rate is widely used in LOF,
so the SZ162411 Net Value calculation may have 0.1 cent of difference compared with final official data.
As the difference is so small, and I also believe the trading price will move to reference rate during the day, I was not changing it. After all, I will not trade based 0.1 cent any way.
Since this year, the manager of SZ160216 works very hard to keep its net value moves almost the same as USO,
and triggered huge amount of arbitrage between SZ160216 and CL future. One of them, zzzzv, is trading for 0.05 cent profit now, so the use of USDCNY reference rate is necessary.
Based on his long term experience, he also confirmed me that the trading price will not move to the USDCNY reference rate.
He also provided the USDCNY reference rate interface from Easy Money USDCNY,
which was used in his Excel+VBA tools.
Document first, then to implement my ForexReference class.
The data as following:
After removed double quotation marks, separated by ',', the interpretation of words in the next table.
||Date and time
June 16, 2016
The auto calibration last night used data from East Money, but today's SZ162411 net value still has small difference compared with offical data.
Continue to get advise from zzzzv, I found that the USDCNY data from East Money is actually the same USDCNY data from Sian, they are both trading data.
To get USDCNY reference rate from East Money, symbol USCNY is needed.
Data saved in uscny.txt.
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