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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3
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1answer
22 views

Equivalency of FX forwards and FX fixed for fixed swaps? Are they still the same under multiple curves environment?

I am encountering two approaches for valuation of FX swaps (fixed for fixed, e.g. fixed USD payments for fixed EUR payments) which seem to result into different values although in theory they should ...
0
votes
1answer
76 views

FIX latency and clock syncronization

We are trying to see latency from our server to different LPs . For that we are checking sendingtime value (from them) and current clock in our server. What we saw is difference of +-20ms between ...
0
votes
1answer
25 views

Is an FX forward with delayed settlement still a derivative?

As an example: Trade date: 1/1/16 Maturity date: 2/29/16 Settlement (exchange of currencies) 3/31/16 Is the instrument between 2/29 and 3/31 still deemed a forward? The forward rate is determined so ...
0
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0answers
17 views

Data on interest rate differentials (lending on own vs. foreign currency)

I'm looking for data on (inner country) interest rate differentials between lending in own and foreign currency. Is there any data publicly available? If yes, where? If not, which non-free sources are ...
3
votes
2answers
87 views

Longer term average probabilities of fills at fx ECNs?

I am wondering whether anyone can share experiences and longer term average probabilities of fills when quoting inside the spread at various fx ECNs. I need to make an assumption of the probability of ...
1
vote
1answer
50 views

Fx Firm market making

I've been doing market making on forex using the last look feature so far. Now we are moving to do on firm making, but I'm kind of lost. To do firm making we need to post resting orders (currenex ...
0
votes
1answer
64 views

Derivatives (Forex Forward) [closed]

Good day, Please, consult me about Forex Forward Swap (Ex. pair USD/RUB). I am trying to calculate and cant understand, how it works. For example: I have: USD/RUB Fwd points 3M - 19650/19950 IR - ...
0
votes
0answers
62 views

Why does graphic of log first difference of renminbi look similar to hkd?

This is CNY to US$: This is HKD to US$: Below are the log of the first difference of both graphs above: You can see that apparent similarity on the middle of graph. I thought that they were ...
0
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0answers
24 views

Silvio Gesell's theory of value of money can it work?

Silvio Gesell was an economist. The scope of science of economy is the value of money. His theory is basically there is one source of money and one sink, source and sink is the same. Thus the value of ...
5
votes
2answers
90 views

Calculating probability of Yuan's slump from options market

http://www.bloomberg.com/news/articles/2016-01-06/if-options-traders-are-right-the-yuan-s-slump-is-far-from-over Contract prices indicate a 79 percent probability that the currency will weaken ...
0
votes
2answers
69 views

Volatility of EUR/USD: is this correct?

Let x be the closeBid price of EUR/USD, sampled every 5 minutes during year 2015 (historical data). This is the variation (is it ...
1
vote
2answers
142 views

what data to use to compare the interest rate among different currencies?

Very new to fixed income signals. I am a little confused about which data to use to compare interest rate among different currencies. For example, I am interested in compare interest rate in the ...
1
vote
2answers
264 views

Forex P&l Attribution on Physical Forward position

Please validate my unrealized Fx P&L calculation on the commodity forward contract e.g. consider i have bought 1 MT of wheat at 300 EURO my financial currency for company is USD. I am using below ...
4
votes
1answer
101 views

Is that a good way to work with the ARMA model?

I would like to share with you what I am doing to get your point of view, and to make a better trading system in collaboration. I am working on EURUSD forex, and I am trying to find a way to place ...
1
vote
1answer
50 views

Should a strategy backtested against three years of tick data continue to produce positive results?

Let's say we have a Binary Options 5-minute trading strategy that relies on multiple indicators and exploits price reversals in currency pairs. Now let's say there is a combination of inputs for the ...
0
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0answers
7 views

Is there a free Source for currency forward rates into Excel? [duplicate]

Is there a free (or at least very cheap) service/api out there I might be able use to get yesterday's closing currency forward rates (and spot) into excel/csv without having to copy paste values from ...
1
vote
0answers
16 views

Are COFER unallocated resource changes meaningful?

I've been looking at the currency reserves (COFER) data on the IMF site: http://data.imf.org/?sk=E6A5F467-C14B-4AA8-9F6D-5A09EC4E62A4&ss=1408202647052 What caught my eye was the 5% drop in ...
1
vote
0answers
39 views

What's the problem with simple EMA-crossover strategies?

I'm looking at charts of bitcoin here: https://bitcoinwisdom.com/markets/kraken/btceur with the option of displaying a short term as well as a long term EMA. It seems to me that if I were to buy ...
1
vote
2answers
51 views

Trying to understand how to convert profit to home currency

I'm looking at example 2 here: http://fxtrade.oanda.ca/analysis/profit-calculator/how ...
1
vote
0answers
58 views

Triangular Arbitrage with CFD

I cannot understand how the triangular arbitrage fits with CFD. Assuming there is an arbitrage opportunity: EUR/USD < USD/GBP * GBP/EUR If I do this strategy: 1 Long on EUR/USD at Ask price 1 ...
2
votes
1answer
195 views

How to create a basket of currency pairs with the lowest correlation in R?

My strategy is designed to buy and sell all assets of a universe and rebalance periodically. It goes either long or short. To limit risk exposure to a single currency I would like the assets in the ...
0
votes
1answer
32 views

Implied inverse forex pair bid/ask spread

I just wanted to make sure this was correct: If AUD/USD has bid ask of 0.71999/ 0.72032, that implies there is another (theoretical) pair USD/AUD which has a bid ask of (1/aud_usd_ask) / ...
4
votes
1answer
1k views

Are there Python algorithmic trading libraries supporting forex?

I know about zipline and ultrafinance, but as far as I know, they don't support fx trading. Which libraries do?
2
votes
1answer
52 views

How to distinguish trending/consolidating market conditions programatically?

Can someone please suggest me a method to programatically identify trending/consolidating market condition by reading ohlc data? Currently I'm thinking of checking the current price within last n ...
6
votes
1answer
104 views

How to compute returns and daily VaR of a currency position?

I have a Forex trading account with a base currency USD. I am holding a position in EUR/JPY and would like to estimate my daily VaR. If I compute the EUR/JPY returns using the historic prices this ...
-2
votes
1answer
35 views

Implied exchange rate

The EUR/JPY exchange rate increased by 20%. The USD/JPY exchange rate increased by 25%. By how much will the EUR/USD exchange rate decrease?
0
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3answers
62 views

What information should be delivered to the client so they have enough information to manage their exchange rate risks? [closed]

The client can be a CFO or CEO. The information can indicators, charts, graphs, statistics, ratios, etc. I know the VaR is one of them.
0
votes
1answer
68 views

can an fx forward price simply be divided into 1 to quote the inverse?

Qu 1. Say I ask for EURUSD 1 week and get prices: 1.120986 / 1.120216 Does that mean to price USDEUR 1 week I can divide 1 / 1.120216 and 1 / 1.120986 and get rates: 0.8921 / 0.8927 Or is that ...
1
vote
1answer
52 views

Lease Accounting / FX Embedded Derivatives [closed]

I have a lease agreement where the functional currency is USD, domestic currency is UAH. Lease agreement is written in EUR (rent rate) and payments are to be done in UAH in the amount of rent rate ...
-3
votes
1answer
70 views

Exchange rate conversion [closed]

If the EUR/USD exchangerate fell by -0,96%, how much has the USD/EUR exchange rate increased? According to the below charts the number would be +0,97% (currently) but I cant figure out how these ...
4
votes
2answers
125 views

Simple question about FX carry trade

I have been reading online about the FX carry trade and how this can be profitable (in general). From my understanding, the idea is to be long (lend) the currency with higher interest rate and short ...
0
votes
0answers
28 views

The calculation of NIBID rate from 2013 by using NIBOR rate (UIP)

I need to calculate the NIBID rates from 2013. I have the NIBOR as a starting point and some indications but I am still quite confused. I found some advices online, but it does not seem to get me the ...
5
votes
2answers
444 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 ...
1
vote
3answers
146 views

Realtime Exchange Rate Data API

There are various sources for real-time exchange rate data, e.g. Ariva EUR/USD. Is there also an API or other source which enables to automatically retrieve real-time exchange rates as a data stream ...
0
votes
2answers
148 views

How to handle currency change in exchange rate volatility measurement

I am trying to measure exchange rate volatility in some countries and I am using their currencies against euro. Problem is that one of them is Slovakia which has changed the currency in 2009 from ...
2
votes
2answers
851 views

Forex ECN for Algorithmic Trading

I'm looking for a forex brokerage that allows me to: add limit orders to the order book and trade against other clients However, when I look at the looks of fxcm, alpari, robofx, ... it appears all ...
4
votes
1answer
179 views

U.S. Rate Hike Prediction

In a recent ft.com video an analyst mentioned that markets postponed their Fed rate hike expectation from September to around November 2015 due to the CNY devaluation, based on the "shift" of some ...
5
votes
1answer
164 views

CNY Devaluation: Why EUR up, USD down?

The second unexpected devaluation of the Chinese currency CNY caused some turbulent market movements in currencies today. I was surprised that the EUR went to a 1-week high against the USD up by ...
0
votes
0answers
42 views

Calculate Forward Rate under CIP - differs from qouted rates, why?

Hello everyone out there, I am quite new here, but hope you are helping me out, nevertheless. By assuming that we have CIP I want to calculate the 3M Forward rate for EURUSD. I use the known formula ...
0
votes
1answer
78 views

Futures vs. spot for currencies - who is the leader

What is known about interrelation between the currency (say EURUSD) spot prices vs. futures on the the same currencies (traded at Chicago CME) ? I mean what is typical situation - the main price ...
0
votes
1answer
235 views

Factoring risk premium in to Forward Rate calculation

This is a self study question. I'm calculating a forward rate. Specifically, I have that in a country X, the Spot Rate is 5X/1US. I also have that the 1 year interest rate is 13% in country X and ...
0
votes
3answers
107 views

To currency hedge or not to currency hedge (ETFs)?

When is it preferable to use a currency hedged ETF over a none currency hedged ETF? There has been studies which have shown over the longer term currency hedging does not make a difference. ...
1
vote
0answers
103 views

Carry Trade vs synthetic Carry Trade using forward contracts

When it comes to foreign exchange carry trade strategy, the definition is straightforward: an investor borrows 1 USD in the US (low interest country) and invests that $1 to AU (high interest country). ...
2
votes
1answer
105 views

Test .mql4 (meta trader 4 editor) when the fx market offline

I am coding some simple .mql4 program, you know, the fx market is offline on weekend, and the market will be not shown in Meta trader 4 platform. I wanna test my program in meta trader 4 on weekend. ...
1
vote
1answer
112 views

Why is Indian rupee is stable against the USD even though most other currencies weakening?

The Indian Rupee (INR) seems fairly stable against the USD (1 USD = 62-64 INR) in the recent times even though most other currencies have weakened against USD, some by 20-30%. Apparently, INR is ...
3
votes
1answer
261 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 ...
6
votes
0answers
192 views

Markov-Switching Multifractal and FX Rates

Is there a better model than Markov-Switching Multifractal (MSM) for detecting regime shifts in FX rates across multiple time horizons? I am especially interested in the different aspects of the ...
0
votes
0answers
45 views

Where I can find the conventions used in building an FX volatility surface?

Here are some conventions used in building the EUR/USD volatility surface. I need to validate these fields: Base Currency: EUR Term Currency: USD Spot Lag: 2bd Interpolation Variable: ...
1
vote
2answers
1k 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 ...
1
vote
1answer
42 views

How to effectively hedge a Fixed-Term deal in a foreign currency?

Assume my firm is based in USD and agrees with some counterparty to buy, at time $T$, some quantity $Q$ of asset $A$ for a fixed price $K$. Assume also that $A$ prices and $K$ are denominated in EUR. ...