4.) For every trading day (skip holiday/weekends) during the sample period, collect the EUR/USD exchange rate (from either Bloomberg, Google, Yahoo, Fed, etc) and the Euro FX futures price (from CME or other sites).

The above screenshot is what the Euro FX futures quotes looks like at cmegroup.com. The price you need to collect is Last price (not Open, High, Low).

(Hint: There are free sources on the internet to get the futures price history. If you find one, then you dont have to visit the cmegroup.com every day to collect data. You can ask whether your source is correct in Teams. For other websites, Last price may be called as Close price. )

Prepare a spreadsheet and create 3 columns for

Date (exclude non-trading days)

EUR/USD exchange rate

Euro FX futures price

(Hint: The above screenshot is just a suggested template for the spreadsheet. You can add more columns, if needed.)

(Hint: FOREX and futures price will not be identical to each other. But they should be very similar. If your FOREX is 0.80 and futures price is 1.20, then its most likely you are using an incorrect quote.)