Swaps Data feed
Partnering with DIGITEC, we present the Swaps Data Feed (SDF) – a unique, independent, reliable source of Swaps Market Data from the FX OTC market. Offering full granularity across the curve from O/N out to two years in over 25 pairs; providing Swaps Market Data in 400 crosses in G10, EM and NDF currency pairs.
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 granular pricing around broken and special dates.
Customers will be able to consume data in separate currency buckets:
- Emerging Markets
- NDFs (imminent)
How the Market 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.
In addition to the Swaps Data Feed you can also get the Historical Data Feed – a historical data access for back-testing, rate reasonability and model building. Coming soon, please contact our sales team for more information.
Proposed operational advantage and use
Suggested recommended use of these data series could be
- In the evaluation of your outbound FWD curves
- Performance benchmarking and best execution
- Fund Valuations and mark to market calculations
- For competitive comparison of true executable pricing in the Forwards market
- Rate reasonability compliance
- Historical back-testing and model development
- Academic analysis and research
- Audit and accounting
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
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
- The Streaming service is available via the CEF infrastructure of the Deutsche Börse, and all data vendors
- Seamless integrated access via the 360T platform (EMS, ADS & MMC)
- Read only webpage with the option to calculate broken dates and crosses
Meet 360T’s Partner: DIGITEC
DIGITEC’s D3 Pricing System is a powerful and feature-rich Foreign Exchange and Money Market rate engine covering cross and arbitrage calculations. Seamlessly connecting DIGITEC’s D3 market-price intelligence and price-setting with 360T’s global electronic trading platform reach represents a very quick and cost-effective “one-stop shop” solution for all those active FX and MM participants who don’t want to internally design and develop price calculating, plausibility and audit software and don’t wish to build out a large scale (specific end-user driven) E-Commerce trading and execution platform.