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NCFX – The Benchmark for FX Data – Forwards

Dec 22, 2021

New Change FX Benchmarks

NCFX is an award-winning fintech company. We specialise in delivering price transparency to the fragmented FX markets with live, independent, regulated benchmarks and ground-breaking analytics.

We publish the only live FCA authorised FX mid-rate benchmarks and other consolidated FX reference rates. These price streams can be used to calibrate price formation and distribution processes, to perform benchmarked execution and to perform second-generation transaction cost analysis (TCA) calculations in real-time.

NCFX is venue and vendor-neutral, our benchmarks cannot be directly influenced or targeted making them fair and objective for any user case by any market participant.

NCFX Forward Benchmarks

NCFX offers benchmark mid-rate feeds in 38 currency pairs (full list on request).

Tenors: ON, TN, SN, 01W, 02W, 03W, 01M, 02M, 03M, 04M, 05M, 06M, 09M, 12M

Forward Interpolation

NCFX produces forward benchmarks for all value dates, using a proprietary slope methodology. Our process resolves errors that arise from using straight-line interpolation in the presence of anticipated rate announcement dates and month-end basis.

  • Last Rate – delivers a single point forward mid-rate for a requested value date at the time specified by the query.
  • Timeseries – delivers every forward mid-rate update between two points of time for a requested value date.
  • Sequence – delivers a single point forward mid-rate for each value date for a selected number of days.
  • Spread Last Rate – simultaneously calculates two Last Rate queries producing the spread between the near value date and far value date.

Spread Timeseries – delivers every Spread Last Rate update for a given time interval.

Benchmark Creation and Management

Data from multiple venues via FIX market protocol.  All feeds are top of book min 1 million units of base currency. All feeds have their own checks to remove erroneous data and checks are run constantly to ensure connectivity and remove stale prices. For bids, we take the highest last received price. For offers, we take the lowest received price. Once calculated we simultaneously publish and store all updates.

Delivery

Data is published via:

  • FIX Protocol version 4.4
  • Open standard REST API
  • Available via standard internet connection or dedicated cross connect

For further information please contact info@newchangefx.com

About New Change FX

New Change FX (NCFX) was founded in 2012 to bring better analytics to the FX industry and is headquartered in London, UK. Over the last 9 years, the business has grown into a data and analytics business delivering high-quality data to the FX market place. NCFX’s analytics have evolved to be market leading and the company’s data is widely embedded in efficient trading processes. NCFX’s goal is to support the ambitions of global regulators in informing and improving the execution outcomes for buy-side firms trading FX, and equally for sell-side firms to assist in this process and improve their own trading experiences.

NCFX, 22nd December 2021