NCFX is the only FCA authorised administrator of live spot and forward FX benchmarks. Prior to 1st Jan 2021 NCFX was on the ESMA Benchmarks Register.
NCFX benchmarks can be referenced by EU supervised entities until the end of the extended BMR transition period (currently 31st Dec 2023).

Data & Benchmarks

NCFX produce granular real-time FX, precious metal and Crypto market data that is available in both live and historic formats covering Spot, Forward and NDF instruments.

We aggregate live price feeds from numerous wholesale market sources to publish a real-time market mid-rate that can be used in the objective measurement of any trading venue or counterpart at any time. NCFX does not take prices from market-makers and we do not offer a trading or brokerage platform.

In each 24-hour period, we can print over a billion price updates as our rates are refreshed continuously up to 20 times per second throughout the entire trading week. NCFX data can be consumed directly by an individual user via an API or easily integrated into any autonomous workflow or system.


Data TypeApproximate no. of InstrumentsMax update frequencyOfficial Benchmark InstrumentsHistoric data available from
FX Spot 1,90050 milliseconds70January 2016
FX Forward & NDF8,6001 second456January 2018
Crypto2001 secondN/ASeptember 2020

Official Benchmarks

NCFX is a regulated Benchmark administrator and calculation agent. We are responsible for the production of the following official FX Benchmarks:

  • Spot: NCFX calculates benchmark spot mid-rates in 70 currency pairs including XAG and XAU.
  • Forward: Standard tenors available for 38 currency pairs.
  • Interpolated: Broken dates and non-standard tenors with almost limitless configurations.
  • DVNC Options Cuts: In partnership with Digital Vega NCFX’s mid rate is used to provide the market with a neutral and transparent rate in order to determine the resultant FX option expiry.
  • SIREN: An alternative point in time fixing rate that is calculated every 30 mins throughout the trading day. Developed in partnership with Raidne Ltd.
  • DGCX Fix: Working with the Dubai Gold and Commodity Exchange we provide a rolling spot fix at 00:00 hours (Dubai) for AUDUSD, EURUSD and GBPUSD.
  • NCFX-BI: Currency Beta Indices referencing the 1m forward yield of a local currency against either USD, EUR or GBP. These indices provide a reference benchmark to hedging strategies and basis for structured products.

NCFX data products and services are also available through various partner channels including:

API Analytics

Spot Data APIs
  • Last Rate – delivers the prevalent mid rate to the millisecond at the time specified by the query.
  • Timeseries – delivers every Spot update between two points of time up to 1 hour per call.
  • OHLC – delivers the open, high, low, close information for a defined interval over a defined period.
  • TWAP – delivers the time weighted average rate between two timestamps or if an interval is selected will deliver a series of TWAP results over a given period.
Forward Data APIs
  • Last Rate – delivers the prevalent forward mid rate to the millisecond at the time specified by the query.
  • Timeseries – delivers every Forward update between two points of time up to 1 hour per call.
TCA Calculations
  • TCA – calculates the cost of a trade at the point of execution.
  • Decay – calculates transaction cost mark outs at different intervals before and after the execution timestamp.
  • Market Impact – calculates effective spread which is decomposed into Temporary costs and Permanent costs. The calculation examines differences between the arrival mid-rate when an order is submitted and the dealt rate when an order is completed.
  • Implementation Shortfall – calculates transaction costs at different moments in the life cycle of a trade from origination to completion.
Forward Interpolation
  • 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.
  • USD Cost of Volatility – calculates the inventory risk of an FX transaction based on the time interval between the arrival timestamp and the execution timestamp.
  • Unit Cost of Volatility – expresses transaction costs (effective spread) as a ratio to the underlying volatility over which the costs/gains were generated providing users with a metric that identifies risk adjusted costs.
  • Expected Spread (in development) – estimates trade costs based on the specifics of the actual transaction, size of the order, time of day and volatility.
  • Efficient Trade Frontier (in development) – identifies the optimal trade trajectory that minimises market impact for the risk taken to achieve those cost savings.

Transaction Cost Analysis

The NCFX TCA Hub is a state of the art, transaction cost analysis software platform that delivers a class leading suite of advanced metrics from which to examine your FX transactions. The platform is designed to be configurable to each unique client workflow and fully automated once integrated directly with your existing systems.

Completely scalable, the system operates in real-time so that trade intelligence and feedback is instantaneous. Users can continually monitor performance, mitigate potential risks and manage FX costs more effectively. The software is simply accessed through a secure web channel which takes the user to their own personalised environment. Each client environment is completely segregated and firewalled from all other client environments and hosted through a major cloud-based service with 24 hour support and high level SLAs.

The system is designed as a utility that provides powerful and intuitive analytics and reporting tools. It captures a full set of both transactional and quote data so that liquidity providers can be measured both when they win the trade and when they do not.

The data can be visualised in a variety of ways and exported into common formats to link with other client BI systems.

Analytics and reporting functions can be fully automated and/or bespoke depending on the specific user so that multiple colleagues can create specialised content to fulfil departmental requirements.

Benchmark Applications

NCFX offer a range of implemented FX solutions that help clients to achieve execution efficiency whenever they need to transact in the FX marketplace.

Services are either provided directly by NCFX or accessed through selected partner organisations but in all cases NCFX Benchmark Applications differ from alternatives because our independent data, regulated benchmarks and class leading analytics power our work.

Selected Benchmark Applications are briefly outlined below:

Automated Option Expiries
  • Following significant buy side demand and in partnership with Digital Vega, NCFX has launched a series of FX options cut benchmarks.
  • NCFX’s regulated market mid-rate is used to provide the market with a neutral and transparent rate in order to determine the correct expiry rate.
  • Introduction of the DVNC Options Cut has enabled full automation of the option expiry process.
  • Published for 84 expiries that span the Tokyo, London, New York, Budapest and Warsaw cuts.
Alternative point in time Benchmark Fixing process for execution and NAV calculations
  • Developed in partnership with FX surveillance specialist Raidne.
  • SIREN is published every 30 minutes for all NCFX Spot Benchmarks and employs an optimal execution model to reduce the market impact of trading into a fixed point in time.
  • SIREN uses a longer fixing window than current benchmarks which makes it less vulnerable to manipulation.
  • Multiple fixing points allow users to move volume away from the most crowded points in the trading day.
  • SIREN data is produced and published by NCFX.
Siege FX facilitates peer-to-peer netting of FX transactions to a global community of institutional buy-side and major corporations.