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# Questions tagged [fx]

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 unified or centrally cleared market.

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### Papers and books related to “Forex” market microstructure

There are lots of papers and books on this topics but haven't seen much specific to forex markets nowadays. Any recommendation on recent papers or books?
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### forex backtesting spread cost modeling

For professional level forex trading, what is a reasonable estimate of roundtrip transaction costs (I am talking about major pairs, like EUR/USD).
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### Garman-Kohlhagen (Black-Scholes) Formula vs. Bloomberg OVML Calculator

I'm trying to price a European call option on USDJPY. We have that $S = 112.79, K = 112.24, \sigma = 6.887\%, r_d = 1.422\%, r_f = -0.519\%, T = 0.25$. My model, based on Black-Scholes, returns the ...
2k views

### Are currency hedging costs a function of interest rate differentials?

If I am a Yen investor and want to buy USD asset and hedge the currency exposure, are these hedging costs a function of interest rate differentials between Yen and USD and by extension the spot and ...
84 views

### Initiating new orders with active “order-session” only?

Is it a must to establish "quote-session" & subscribing to quotes/market data before initiating a "New Order-single(Market-GTC)"? I actually can't see any use of quote-session for trading ...
473 views

### NOP delta is Delta times 10000?

I heard someone saying that "in FX world, NOP Delta is Delta times 10,000", what does it mean ? I take Delta is always the change of option price divided by the change or the underlying, e.g. EUR/USD ...
253 views

### Dollar Index vs Hang Seng Index: Negative correlation, but what's driving it?

I recently read an article which highlighted that a weaker dollar tends to coincide with rallies in Hong Kong stocks. I did some quick analysis: I calculated monthly returns on the Dollar Index and ...
58 views

### given a timstamp, tell if Forex NY/Tokyo/London active

I am looking for a [pseudo-]code for the following task: given a [GMT] timestamp, tell which of Sydney, Tokyo, London and New York FOREX session were opened. Weekend, daylight saving time and holiday ...
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### How to calculate Chande Momentum Oscillator for FX

I am trying to calculate a momentum oscillator for the EUR/USD pair and am confused. A formula I read referenced the sum of previous up days. What is a "day" considered in Forex?
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### pnl calculation of FX forward

i am trying to clarify the correct method of computing pnl (in base ccy) on an FX forward. let's assume the following notation: S(t) = spot rate at time t df(base,t) = base ccy discount factor (USD ...
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### What is the dollar zero rate and the foreign zero rate?

These terms are used in a proof that the forward price of a foreign exchange pair (where the base is USD) at time $t$ is $X_t \cdot e^{(r_s-r_f)(T-t)}$, where $r_s$ is the dollar zero rate and $r_f$ ...
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### How to calculate FX hedged bond yield?

How does one go about calculating a 10 year US treasury yield hedged back to EUR? I vaguely understand this but I think there's two methods 1) Calculate 3-month annualized hedging cost 2) Calculate ...
129 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 ...
81 views

### Where can I see the bid stack for FX?

In trading FX binary options on brief tenors like 1 hour, I frequently see the FX price bounce right on the expiry boundary, like hourly or 20 minute boundaries. I would like to figure out if these ...
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### Interact with FX Connect

I have little to no programming background so please bear with me. I work for a firm that executes our FX trades via FX Connect. I would like to program some logic into FX Connect so that trades that ...
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### Markov chain Monte Carlo Analysis of FX Options

I recently stumbled upon a paper titled "Markov Chain Monte Carlo Analysis of Option Pricing Models" thanks to another post on this site (see: link). I have the ultimate goal of implementing a MCMC ...
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### Predicting the Future FX Spot Rates

Say I need to predict what the spot rate between USD and CAD will be in 3 months. What will be the most accurate measure or model that I could possibly use? Does the 3 month forward rate necessarily ...
143 views

### Net Exposure of FX Future

I'm a software developer currently working for an asset manager in their Risk department. I'm looking at Currency Futures and have a question I was hoping someone could put me right on. If I have a ...