Reconciling differences between FXCM XML output and MarketDataSnapshot

Good morning!



We are having a bit of confusion reconciling MarketDataSnapshot.xlsm EOD data against the FXCM XML output.



In MarketDataSnapshot.xlsm we are using: getBidHigh(i), getBidLow(i), getBidClose(i). The output MarketDataSnapshot for 10/22/2014 21:00 is: High: 1.26766 Low: 1.26136 Close: 1.26526



We used the FXCM XML output (image below) for 10/22/2014 16:59:59 because the high/low resets at 17:00 and we could not figure out another way to get the day's high/low corresponding to the day's close. The XML High: 1.2741, Low: 1.2636, Close: 1.26448. (Note: This close is from an XML output at 17:05 using the "PreviousClose" field. Taking the midprice of the 16:59:59 Bid/Ask yields a calculated close of 1.26508.



So, even accounting for a one second lag, we see unexpected differences between the values, especially the posted closes. And while we would expect some difference in the high OR the low if the market were trading there at the close, a difference in both seems suspect. Here is our data summary:

High Low Close

.NET 1.26766 1.26136 1.26526

XML 1.2741 1.2636 1.26448 (or 1.26508 calculated)





Any insights into the differences would be greatly appreciated!