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Defining a Forex Trading Day for Momentum Indicators

Article Quant Q&A · Author: dkimot
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Summary

The document addresses what counts as a day when calculating a momentum oscillator for a currency pair such as EUR/USD. Its answer describes the conventional FX trading week as beginning with the Monday value-date rollover in Wellington and ending at the Friday New York close. It explains that a currency’s daily cutoff is tied to when its value date changes, and may differ across currencies.

The answer attributes cutoff conventions to the practices of FX dealers, money-market interest-rate traders, and central banks. This matters when converting a formula based on daily up and down moves into FX data: the chosen daily bar boundary can affect which observations enter each day. The document gives a general convention, not a single universal cutoff for every pair or data vendor, and it does not calculate the oscillator or compare alternative bar definitions.

Key ideas

  • An FX day is commonly defined by a value-date rollover rather than a universal midnight boundary.
  • The described FX trading week runs from the Monday Wellington rollover to the Friday New York close.
  • Daily cutoff conventions can vary by currency and reflect dealer, funding-market, and central-bank practices.
  • The daily boundary used to build FX bars affects the inputs to a daily momentum oscillator.

Tags

ForexTechnical indicatorsMomentum
Full text
# How to calculate Chande Momentum Oscillator for FX


# How to calculate Chande Momentum Oscillator for FX












I am trying to calculate a momentum oscillator for the EUR/USD pair and am confused. A formula I read referenced the sum of previous up days. What is a "day" considered in Forex?

## Answer by rupweb (score 2)

https://quant.stackexchange.com/a/37656

The forex week starts on Monday 7am Wellington time when the Kiwi value date rolls. It ends on Friday 5pm New York. Within that each currency has its own “cut off” time when the value date rolls. The cut off depends on the time zone and liquidity in the currency managed by the dealers who make its market. The convention for an FX day “cut off” for a given currency is not only up to the FX dealers who trade it, but also the money market interest rate traders, as to applying interest on deposits and loans in the currency. Plus it’s up to the central bank. Probably all 3.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.