Swaps data feed

Swaps Data feed (SDF)

Introduction

Combining the market leading infrastructure of DIGITEC D3 with the global distribution of the 360T network, SDF offers an innovative solution to the issue of round the clock pricing reliability in the FX Swaps market, as well as a solution to the need for broken and special dates. SDF offers full granularity across the curve up to two years in over 40 pairs and provides Swaps market data in an unlimited number of crosses in G10, LM and NDF currency pairs.

How the Data is aggregated

DIGITEC and 360T have built a pool of PMF data contributors from participating D3 clients and 360T liquidity providers that are streaming their raw banking prices into the PMF. Streams are anonymised, aggregated and filtered. The result is a data feed based on participating banks’ raw pricing, not including any sales skew or client margining. The data is therefore representative and of Interbank quality. Outliers are removed to discount individual skew and holiday rules are included.

The SDF advantage

The SDF can be used for a number of purposes:

Evaluation of your outbound Forward curves
Assessment of best execution
Comparison of true executable pricing in the Forwards market
Rate reasonability compliance
Historical back-testing and model development
Academic research

Key features

Independent market data that reflects the real market, created by pricing engines and traders
Access to special dates such as turn dates around the year, quarter, month end / beginning, IMM’s as well as central bank meetings
Ability to request any broken date and any cross currency combination up to 2 years
Algorithm sanity checks – outliers are dropped out automatically to ensure best data quality
Up to 1000 parallel subscriptions are possible

Distribution

We offer various customisable subscription models:

FIX-API based feed with no limitation to the number of users and consuming in-house applications
Seamless integrated access via DIGITEC’s D3
Seamless integrated access via the 360T platform (EMS, ADS & MMC)
View-only webpage access

Meet our partner

As Deutsche Börse Group’s FX powerhouse, 360T provides web-based trading technology for OTC instruments, integration solutions and related services. In addition to its existing cutting-edge multi-bank portal for FX, Cash, Money Market and MM Funds products, together with Deutsche Börse Group, it provides its clients with the most holistic offering on the market by combining FX OTC and on-exchange FX trading. 360T allows clients to directly reduce their operational costs and risks in all parts of the trading lifecycle while enhancing compliance and transparency at the same time.

frequently asked questions

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DIGITEC

DIGITEC GmbH
Krüsistrasse 7
22305 Hamburg
Germany

DIGITEC Ltd.
15-16 St. Helen’s Place
London EC3A 6DQ
United Kingdom

Contact

+49 40 23 77 60
info@digitec.de

Company

DIGITEC has been working with trading banks for more than 40 years. Clients include more than 40 global and regional banks in the Americas, Europe and Asia Pacific.

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