# Tag Info

0

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.

2

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 ...

1

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 ...

0

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 ...

0

I think you have to remember that the value is where it's trading. I know that might not be as deep as what you are looking for. But when you start to get into CDS you are getting into what the right spread is. You can trade forwards on every point on the curve with JPYUSD, so you can compare it pretty easily to a similar USD denominated bond. So I ...

2

I think this is related to traders jargon. When a dealer quotes the price of a spread between two securities (such as a risk reversal) as "10 cents your choice" or "ten cents around" it means that the bid-ask midpoint is zero and it will cost you 0.10 USD to enter a position long the first security/short the second, and also 0.10 to short the first/long the ...

3

It is very difficult to outperform the "random walk without drift" benchmark. The forward rate is not a particularly good predictor as it is often biased. Nevertheless some economists claim it is possible. Here is a literature review (Rossi 2013): http://crei.cat/people/rossi/Rossi_ExchangeRatePredictability_Feb_13.pdf From reading this it would seem that ...

0

No. It is not a requirement to initiate new orders with active "order-session" only. When trading FX you want to try and minimize over-all processing time/latency whenever possible. This will increase your profits and consistency. Yes. It is always possible to log in to the quote-session and use the quote-flow from another application to maintain ...

1

The EUR is normally quoted as EURUSD, i.e. the value of one euro measured in dollars, currently about 1.1281. If the S&P index is $sp_t$ and the EURUSD rate is $eu_t$ then the S&P converted into Euros is $sp(t)/eu(t)$. The arithmetic 1 day return on this is $-1+\frac{sp_t}{sp_{t-1}}\frac{eu_{t-1}}{eu_t}$. The logarithmic return is ...

2

if you hedge it means that your USD return equals (neglecting hedging cost) your EUR return. You just change the name. If you want to know what the return measured in EUR is, then you either calculate the price of S&P in EUR and then take returns or equivalently you calculate the product of the local return and the return of the USD in EUR in the ...

0

I've heard this phrase thrown around in the Forex market. There is a locked-in exchange rate and delivery date in these cases. In terms of companies, large purchases are made from foreign business that utilize outright forward contracts to cover costs. For instance, when a US company buys materials from a Mexican supplier they could be required to make a ...

2

Receiving outright simply means receiving the fixed rate versus LIBOR on the 6 month forward starting 2 year swap. The term 'outright' is unnecessary here - it is probably being used to compare with a potential strategy of receiving the fixed on a 6 month forward starting 2yr swap versus paying fixed on a spot starting 2yr swap.

0

So you are asking about what is usually called Unrealized P&L. There are multiple ways to do this. It can be as simple as rupweb points out, but there are some complications, for example when you have previous closed trades, or have multiple open trades at multiple prices. For some detailed information on this, including a formula you can just copy, ...

1

FIX is just the message protocol so the PnL for a filled order (an execution report) on your side by taking the price and volume of the execution report and a reference price when you get the execution report, then calculate your PnL...

2

ASSUMING your counterparty does stream data (this is not a given), what you got was a Snapshot, requesting the top of the book and the volume. I am assuming you sent a MarketDataRequest message, which is 35=V. The tag 35 in FIX protocol is the Message Type. For help with the protocol, FIXIMATE is your friend. Most counterparties should have documentation ...

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There are so called mid-rate reference price providers who eventually offer newsfeeds, however, the answer will very likely be a commercial service. The otehr path would be to contact liquidity providers and / or exchanges directly and ask for API / feed access , which again , will most likely be a commercial service.

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If you want millisecond updates, you need to use technologies other than json.

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You could try True FX or open an account with Interactive Brokers

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