The foreign exchange market (forex, FX, or currency market) is a global, worldwide-decentralized financial market for trading currencies. Commonly traded instruments include spot, forward, swaps, futures, and options. The FX market is the most liquid financial market in the world. There is no ...

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Impact of NZD mid-day EST Roll forward

Was taking a look at an NZD spot deal that was traded on a Friday for value the following Tuesday (t+2). Somehow this trade became classified as a forward by our back office systems (dealer says they ...
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3answers
91 views

How often do banks update forward points?

My understanding is that forward rates are calculated by comparing interbank interest rates of the 2 currencies for a currency pair, with the points being the difference between spot and the forward ...
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2answers
237 views

where can i get data for foreign exchange order flow

I need data for my thesis research on liquidity of foriegn exchange for order flow (aggregated daily) per currency traded for a period over the last 10-15 years. help!!
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1answer
96 views

Analysing FX Data

When analysing currencies, the data always comes in pairs so it is hard to normalise a multivariate time series of data e.g. if I have GBPvsUSD, EURvsUSD and CADvsUSD then changes in the US economy ...
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4answers
2k views

C# Broker API for FX Trading

I am looking for a broker who provides a free trading API for FX. The goal is to develop at-home algorithms in C# (possibly Qt) to run on a fake portfolio, and then later on real money with ...
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1answer
2k views

Implied interest rate from FX swap

This is not homework. I am trying to calculate the implied interest rate of one currency (C2) using an FX swap and the interest rate of another currency (C1 - base). I have the following: Spot: ...
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1answer
210 views

When calculating CIP between EU and US, which interest rates data to use?

I am wondering which data to use to test the Covered Interest Rate Parity between Europe and the United States. Recap that for the CIP to hold, it should mean that F/S = (1+r)/(1+r*) where F = the ...
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2answers
744 views

Multi asset option portfolio risk management (greeks and FX exposure)

I am running an options book containing listed options across multiple products. I trade mostly equity and index related options - with a preference for European expiration products. I trade products ...
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0answers
53 views

VaR mapping - Forward Foreign Currency Contract

I have a question about VaR mapping for FX forwards. Please bear with me while I outline the problem. Philippe Jorion's book discusses VaR mapping; a means to break down complex instruments into ...
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0answers
640 views

Models for simulating FX movements

My goal is to develop a model to simulate long term FX movements. (I am not sure if long term makes any difference, but if it does I am more interested in long term fx movements) These Monte Carlo ...
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0answers
83 views

How to measure if variance is greater at a certain time of day?

I'm not very fluent in the quant vernacular, so perhaps the nature of my question will be better illustrated as a hypothesis. One market has closed and another market elsewhere on Spaceship Earth is ...
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0answers
122 views

How is a quanto priced?

How would one price a derivative denominated in EUR that pays in USD?
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1answer
157 views

what is a typical way forex brokerages can provide cheap leverage for their customers?

I'm not very well read in the area of high finance but I'm curious how forex brokerages are able to provide the backing for leverage that they can provide to customers. Is it possible to do this ...
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1answer
210 views

compute FX forward from broker's data

assume I have following delta-term vol data from broker: ...
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2answers
99 views

How to obtain specific information on FX trading systems?

I'm trying to compare trading venues using a quantitative product selection matrix (and eventually software vendors using a different matrix specifically for vendors), and I was wondering if anyone ...
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1answer
176 views

volatility Table and BS formula

assume I have implied FX volatility Delta-Term table from broker. I have time noticed as 2M, 3M. what do I have to put into BS formula, is it 2/12 or "count the business days"/"daycount basis"? I am ...
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1answer
59 views

Forex trades: what time zone are trade and value dates specified in?

When receiving a value date of D from the counterparty for a trade in NZD/USD, is D assumed to be date D in Auckland date D in New York date D in UTC date D in some arbitrary time zone ? There ...
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2answers
186 views

Forex brokers with free API compatible with Node.js

I have a Forex trading signal generator written in Node.js and now I am looking for a Forex broker with a free Node.js compatible API. The requirements are simple: be able to send new trade orders ...
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0answers
45 views

Negative Risky vs Negative Butterfly

I understand that in regard to FX options, a volatility smile with negative Risk Reversals is effectively indicating that the spot market for a given currency pair is in decline (puts over). In ...
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1answer
59 views

Forex Fundamental Data Sources [duplicate]

What are the best sources to find free Forex historical Fundamental Data in a .csv format?
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115 views

Intermarket analysis - related time series?

I'm about to embark on training a neural network on daily forex data, with a view to obtaining a predictive network. I'm also interested in using data other than the forex currency pair data itself, ...
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1answer
154 views

the law of comparative advantage and exchange rate

I'm reading Steven N. S. Cheung 's "Economic Explanation" (2001). In vol 2 ch 2 section 2, he mentions Comparative Cost, or "the law of comparative advantage". after quoting the britain/spain ...
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0answers
50 views

why does graphic of log differenced of renminbi look similar to hkd?

this is CNY to US$ this is HKD to US$ while below are the log differenced of both graph above you can see tha apparent similarity on the mid of graph i thought that they were managed by ...
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2answers
54 views

What software should I use for forex arbitrage?

These are my requirements: Speed of lookup & update Speed of crunching large numbers and combinations The exchanges I want to connect to will mostly provide json feeds to their orderbooks & ...
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1answer
76 views

Total number of currency transactions [closed]

All of the Forex volume/transactions are always reported in total dollar amount. I am interested in the number of individual trades. Where can I find this? Granularity doesn't matter, ...
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1answer
347 views

Getting started with Forex Trading [closed]

I have $2000 that I can risk losing. I'd like to get started with Forex Trading. Is there some place where I can open an account, get free API access, and write basic programs to play with the data? ...