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Usually it's aggressiveness of your orders + short term alpha. While it's equities not FX, I think you may find something interesting in the recent Barclays LX darkpool lawsuit documents.


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Let XXXYYY be the forex for currency pair XXX/YYY I assume that when you say you have an arbitrage, you say that : $$ \text{EURUSD} \times \text{USDYEN}\times\text{YENEUR}\neq 1$$ As you see, starting from another currency is just changing the order of the product, so you did not miss something.


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Firstly, some instruments: FX Swap, also known as an FX Forward: exchange of principals at start, and exchange back at end. The back exchange is at an adjusted FX rate, which differs from the spot rate by the quoted number of forward points. Non-Deliverable Forward FX (NDF): much the same as an FX Forward above, but delivery is of the USD (usually) ...


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They need to do 3 swaps (1) Singapore IRS: Receive fixed SGD vs Singapore floating rate for 10yrs on SGD 100mm (2) Currency Basis swap: Receive Singapore floating versus paying MYR floating for 10 yrs. This swap includes an exchange of principal at the start of the swap (pay SGD 100mm/ receive 33mm MYR) and an exchange of principal at the end in the ...


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In an FX swap you exchange SGD and MYR payments at the beginning of the swap, and then again (in the opposite direction) at the end of the swap 10 years later. In a Cross Currency Basis Swap, in addition to these payments you also make interest payments quarterly. The party that initially received (i.e. borrowed) the SGD makes interest payments based on SGD ...


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The way the FX market prices is to get a baseline mid price and then apply skew(s) and spread(s). So the answer to your question is no. As for references, the way the FX market works is that liquidity in currency pairs is pushed either to EBS or Reuters. That's so that there isn't a monopoly on prices. For example, the most trading in the EURUSD takes place ...


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Personally, I prefer the book Foreign Exchange Option Pricing by Iain Clark and the book FX Options and Smile Risk by Antonio Castagna. The book FX Options and Structured Products by Uwe Wystup is also good.


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I think that is coming from the bond market where there in the past has been the idea of "marking to the bid". People would usually ask for a two-way-market and most of the time they would be expecting that the bid would be hit. With FX data you are looking at actionable markets so they are all good.


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Actually, it is depends where you want to trade and it is part of trading workflow of concrete counterparty. FIX protocol definition itself does not force you to subscribe on anything. Some brokerages forced you to subscribe on market data streams prior placing any trades. Last one we discovered - FXDD.


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I think you are right. The SDE does not attempt to describe the dynamics of the spot exchange rate with respect to random changes in interest rates. Rather, it describes the evolution of the FX rate as a drift term proportional to the rate differential, plus a random term. Specifically, it says that if domestic rates go up, the rate at which the foreign ...


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The dynamics for the exchange rate $Q$ that converts one unit foreign currency to units of domestic currency is given by \begin{align*} dQ(t) = Q(t)\big[(r_d-r_f)dt + \sigma dW_t \big], \end{align*} where $r_d$ and $r_f$ are, respectively, the domestic and foreign interest rates. In your example, the exchange rate EUR/USD is to convert on unit EUR to ...


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You wrote "the quotes I have for the swap don't look like rates". The swaps are quoted in terms of "forward points" which have to be added or subtracted from the spot quotation. So for example if Spot AUD/USD is quoted at 0.7634/39 and six-months swaps are 112.1/111.1 it would mean that the 6 month swap is quoted 7634+112.1 pips i.e. 0.77461 on one side and ...



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