Vyasa: Daily OHLCV

Clean daily OHLCV candles for NYMEX futures (WTI crude oil CL1!, Henry Hub natural gas NG1!) and USD/INR spot FX (FX_IDC:USDINR) from 2010, plus MCX India crude oil (CRUDEOIL1!) and natural gas (NATURALGAS1!) futures in INR from 2015, to present, with price change, percent change and contract-roll flags. Built for training, validating and evaluating machine learning and LLM time-series models.

• Futures are continuous front-month, unadjusted (no back-adjustment). USDINR is spot FX. MCX contracts are priced in INR (volume in lots).
• Files: <instrument>_<timeframe>_<from>-<to>.parquet, one per symbol.

Datasets

Instrument	File	Symbol	Timeframe	Range	Rows	Rolls
WTI Light Sweet Crude Oil	crudeoil_1D_2010-2026.parquet	NYMEX:CL1!	1D	2010-01-04 to 2026-10-16	4,227	201
Crude Oil (MCX, INR)	mcx_crudeoil_1D_2015-2026.parquet	MCX:CRUDEOIL1!	1D	2015-03-02 to 2026-10-16	2,982	139
Natural Gas (MCX, INR)	mcx_naturalgas_1D_2015-2026.parquet	MCX:NATURALGAS1!	1D	2015-03-02 to 2026-10-16	2,975	139
Henry Hub Natural Gas	naturalgas_1D_2010-2026.parquet	NYMEX:NG1!	1D	2010-01-04 to 2026-10-16	4,226	201
US Dollar / Indian Rupee	usdinr_1D_2010-2026.parquet	FX_IDC:USDINR	1D	2010-01-01 to 2026-10-16	4,377	n/a

• Columns: date, open, high, low, close, volume, change (close - prior close), change_pct (percent, abs prior close as denominator), is_roll, symbol.
• is_roll (futures only; always False for FX): first bar of the next contract. NYMEX expiry rules (NG on expiry day, CL one bar earlier); MCX crude (19th) and natural gas (25th) expiry, roll on the next bar. change/change_pct on that bar include the roll gap.
• Validation: bars with null/non-positive volume, inconsistent OHLC, duplicates and the in-progress bar are dropped. Negative prices are kept (CL settled at -37.63 on 2020-04-20).

Known limitations

• USDINR has no volume in the source (volume is 0) and a few flat single-tick bars on holidays.
• Around exchange holidays the source has a low-volume partial-session bar on the holiday and no bar for the following day, so change there can span two sessions.
• CL and MCX roll offsets were inferred from volume and price gaps, not an official expiry list.
• MCX includes a few special weekend sessions (Diwali Muhurat, budget day) as their own bars, and evening-only bars on morning-session holidays.
• MCX history starts 2015-03-02.