How are "official" FX rates calculated? Are these given by an average across all big dealers or brokerage systems (eg EBS, Reuters)?
Many central banks publish official spot rates, usually once a day near local-time close.
For example, if you have a non-delivery contract involving Brazil real (BRL), then you most likely get the official BRL PTAX (BRL09) reported by the Banco Central do Brasil on SISBACEN Data System under transaction code PTAX-800 ("Consultas de Câmbio" or Exchange Rate Inquiry), Option 5 ("Cotacões para Contabilidade" or Rates for Accounting Purposes) and published around 1:15 p.m., São Paulo time. It is an average of several observations during the day. Likewise, if you have a non-delivery contract involving Argentina peso, you get ARS MAE (AR05) - the rate published by the Mercado Electronic Abierto on its website at approximately 3 p.m., Buenos Aires time, which represents the volume weighted average of all trades in the electronic market for this day in Argentina. Etc.
But if you're looking for intraday, or time other than their close, or forward rather than spot rates, then there are just "unofficial" data vendors. The most popular spot and forward rates seems to be WM/Refinitiv published by State Street subsidiary WM and Refinitiv (former Reuters). Of the many FX platforms, CME's Electronic Broking Services (EBS) is probably the best known.
The FX market is incredibly fragmented. There are no 'official' or correct FX rates, rather there is data that is compiled and distributed by reputable sources, such as central banks, or electronic dealer platforms, or even large trading house own pricing data.
This data may well conflict with each other, but it does not mean it is incorrect.
Here's an example of how exactly FX reference rates are being calculated for the exchange-traded USDRUB pair (
USDRUB MCDF Curncy in Bloomberg,
USDFIXME=RTS in Refinitiv). In this particular case, it's a 5-minute average of 300 per-second calculated "fixes" each determined as a weighted sum of VWAP and weighted mid-price. The multiple layers of averaging and weighting are not surprising given how much is tied to and settled based on these rates. At the same time, the calculated rates can be verified by anyone with access to Level 2 and last trade feed.