Swaps data feed

Swaps Data feed (SDF)

Introduction

Combining the market leading infrastructure of the DIGITEC D3 product with the award winning global distribution of the 360T network the SDF offers an innovative solution to a key market issue – round the clock reliability in the FX Swap market as well as the need for broken and special dates. Offering full granularity across the curve up to to two years in over 25 pairs; providing Swaps market data in 400 crosses in G10, EM and NDF currency pairs.

How the Data is aggregated

360T and DIGITEC have built a pool of data from participating D3 clients and liquidity providers that are streaming FX Swaps into the 360T infrastructure. 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, thus representative and of Interbank quality. Outliers are removed to discount individual skew; holiday rules are included.

Proposed operational advantage and use

Suggested recommended use of these data series could be

  • In the evaluation of your outbound FWD curves
  • In the assessment of best execution
  • For competitive comparison of true executable pricing in the Forwards market
  • Rate reasonability compliance
  • Historical back-testing and model development
  • Academic research
Swaps-Data-Feed Screenshot

Key functionality features

Here are some of the many USPs of this new service:

  • 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 subscription models tailor-made for our clients’ needs:

  • API feed with no limitation to the number of users and consuming inhouse applications
  • Seamless integrated access via the 360T platform (EMS, ADS & MMC)

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.

360T Deutsche Börse Group

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