How exactly do you trade the turn of the year/quarter effect (also known as last day-first day effect). How do you track this data, is it directly quoted in the market or is it interpolated?
It would be in the form of an FX swap, with the first leg on the last day day of the month/quarter , and the second leg on the first day of the next month. In swap you exchange the notionals on the first leg date, and then reverse exchange the notionals with swap points adjustments on the second date. The swap points reflect the interest rate plus the impact of supply/demand.
It is an OTC market and this would be standard-ish quote.