<t>I'm trying to find a way to engineer FX forward and swap curves. I want to be able to use this info for execution benchmarking so this will be stored on a tick by tick basis.While there is Reuters contributed data, I don't know how close actual dealable rates these are. The other challenge is I d...

Correct. So in your example $CAD will be 1 week plus 1 day to match the value date for EURCAD.No different than spot for EURCAD is reall spot EUR$ and Spot Next for $CAD.Make sense?

<t>Is anyone able to PM how they assess and determine FX settlement lines for clients? I am not looking for margin, CSA's or CLS settlement. Just a pure credit methodology that someone would use at a bank to say we will allow client X to trade spot with us and settle up to Y on any given day.Thanks ...

Hi!Just wondering if anyone has used any of the CEP engines like Apama or Streambase on computing grids or with GPU's in order to handle some of the more instensive calculations with high frequency data. I would be curious to know what your experience has been.

<t>I agree on some level. If for instance you are a prime broker or an fx trading firm where you see all of a clients positions then I would agree with the similar patterns between client flow and your own. However, if you are lets say a non top 6 bank where you don't necessarily see all of a client...

<t>I'm having a hard time understand why you would want to know if your p&l are following a fractal pattern. In theory I would suspect that this would be a unique pattern because of trading rules. So I'm confused. Can you give me a simple analogy?Also...can you recommend any papers that would sh...

Quantumar - given that I'm trying to do something similar at my with my own firms data, I'd be interested in hearing in more detail how you apply the fractals. Feel free to PM me. Obviously our data and yours is going to be significantly different.

<t>I think you'll be hard pressed to find a dealer willing to share their own data. Most of the data is guarded pretty tightly (speaking from experience).In terms of the spreads widening with transaction size...there are a few points that may help:(1) for the most part, the fx market trades in a cer...

<t>It depends on the currency in question. If you are talking about a deeply liquid currency like Eur then maybe you could get out 1 Eur and 50 Eur at the same price. For most currencies though once you get north of about $25 then the bid/ask will widen out. If it's an emerging market or minor curre...

Thanks so much. Exactly what I needed!

<t>This is almost embarassing but I've got to ask....I want to do some analysis in Matlab on some FX trades. The data is in the format CCY1 CCY1AMT CCY2 CCY2AMT where CCY1 and CCY2 are the currency codes (e.g. EUR, GBP etc).ExampleCCY1 CCY1AMT CCY2 CCY2AMT EUR 100000 USD 1500000CAD 1500000 USD 14000...

I've some familiarity with them though I'm just a simple front office FX guys. Happy to connect via private message if there's anything I can help with.

I've some familiarity with them though I'm just a simple front office FX guys. Happy to connect via private message if there's anything I can help with.

<t>That's very helpful and greatly appreciated. Out of curiousity...how many people do you have that work on this? What software are you using for data analysis? We have someone using a CEP engine for backtesting but I don't think it's the most effective way to uncover the patterns...was thinking Ma...

<t>I'd say your FX estimate is high. The top 6 global FX banks control about 15-20% of the market. They're about the only ones who in my knowledge have true "market making algos". While most banks have a B2B or B2C e-commerce distribution channel, I wouldn't call their rate managers really a market ...