Foreign Exchange Rates
Overview
Averaging over $5 trillion per day, the foreign exchange (FX) market is where currencies are bought, sold and exchanged. There are many ways to pursue opportunities of the worlds’ largest market, but FX futures offer many advantages over trading spot or over-the-counter FX. Discover the liquidity, nearly 24-hour access and security of trading standardized FX futures on a regulated exchange.
Introduction
The world is becoming more interconnected every day. Businesses and individuals around the globe are increasingly conducting transactions that involve payments of one currency to another.
This is the foreign exchange market, sometimes referred to as the currency market, Forex or simply the FX market. The FX market is huge, global and very fragmented. FX transactions can be conducted by large global banks, regional broker or dealers and even small, unregulated boutiques.
The growth in exchange-traded and cleared FX products is due to the highly transparent nature of exchange-traded products and also the safety that is derived from central clearing and post-trade risk collateralization, which reduces counterparty risk.
Size of the FX Marketplace
The FX market is the largest and deepest capital market in world. It trades virtually around the clock, worldwide, every day.
Identifying Currencies
Currencies are identified using ISO 4217 Currency Codes. By 1973, the International Organization for Standardization (ISO) established the three-letter codes for currencies we use today.
The detailed list of currency code can be found in Currency Code and Description
Ever wonder what it means when you see currency quotations like these?
The first currency in the quotation – in this case the euro – is represented by its three-letter symbol, EUR. This is known as the named or base currency.
The second currency – in this case the U.S. dollar, shown by its three-letter symbol, USD – is known as the terms or quote currency.
American and European Terms
Currency pairs versus U.S. dollars tend to be quoted in one of two ways; in either American or European terms.
European terms do not limit or refer to just Europe-based currencies, but to any currency other than the USD. European terms mean the U.S. dollar sits in the base currency location and the other currency occupies the terms position.
For example, the Swiss franc trades in the spot market in European terms. It is quoted in USD/CHF convention. CHF is the three-letter symbol for the Swiss franc.
American terms are currency pairs where the quote convention places the USD in the terms location.
For example, the British pound trades in American terms in the futures market and is shown as GBP/USD. GBP is the three-letter symbol for the British pound.
Datasets
ABN_FX
ABN Amro Exchange Rates
ABN AMRO Netherlands Exchange Rates
Overview
All the rates are based on the Euro (EUR) - click here for more information on the Foreign Exchange markets.
Schedule
Schedule to process the updates at 14:30 GMT on ABN FX business days.
Sample File
Sample file: aabvv_20220601.pdf
Type
The ABN FX Rates are stored under the type #ForeignExchange
Data ID and Name
Example data id and name:
| Data Id | Name |
|---|---|
| #ABN_FX.EURAED | ABN AMRO Exchange Rates Euro Vs United Arab Emirates Dirham |
Attributes
| Name | Value |
|---|---|
| Source | ABN AMRO |
| Source Name | ABN Amro Bank |
| Name | ABN AMRO Exchange Rates Euro Vs United Arab Emirates Dirham |
| Description | ABN AMRO Exchange Rates Euro Vs United Arab Emirates Dirham |
| Dataset | ABN_FX |
| Dataset Name | ABN AMRO FX Rates |
| Market | Financial |
| Commodity | Exchange Rates |
| Product | FX Spot |
| Location | Netherlands |
| Region | Europe |
| Quote Calendar | HNL |
Validation
Data is validated for missing data points.
Licensing
Data is freely available from the ABN AMRO website and can be used by clients without permissions.
BNM_FX
The Central Bank of Malaysia Daily Spot Exchange Rates
Overview
The Central Bank of Malaysia (BNM; Malay: Bank Negara Malaysia) is the Malaysian central bank. Established on 26 January 1959 as Central Bank of Malaya (Bank Negara Tanah Melayu), its main purpose is to issue currency, act as banker and adviser to the Government of Malaysia and regulate the country's financial institutions, credit system and monetary policy. Its headquarters is located in Kuala Lumpur, the federal capital of Malaysia.
Rates from the Interbank Foreign Exchange Market in Kuala Lumpur as at 0900, 1200 and 1700.
All the rates are based on the Malaysian Ringgit (MYR) - click here for more information on the Foreign Exchange markets.
File Collection
The file is retrieved from the Bank Negara Malaysia website: http://www.bnm.gov.my
Schedule
Schedule the process as below:
| Process | Schedule in GMT |
|---|---|
| BNM_FX_0900 | 03:00AM,B |
| BNM_FX_1200 | 05:00AM,B |
| BNM_FX_1700 | 10:00AM,B |
Sample File
Below is an example CSV file:
,USD,GBP,EUR,JPY100,CHF,AUD,CAD,SGD,HKD100
1 Sep 2021,4.1520,5.7117,4.9054,3.7619,4.5256,3.0507,3.2973,3.0839,53.3717
2 Sep 2021,4.1600,5.7354,4.9279,3.7816,4.5435,3.0736,3.3025,3.0951,53.5028
3 Sep 2021,4.1475,5.7379,4.9254,3.7713,4.5370,3.0828,3.3070,3.0902,53.3681
6 Sep 2021,4.1470,5.7403,4.9202,3.7738,4.5288,3.0829,3.3060,3.0903,53.3459
7 Sep 2021,4.1555,5.7425,4.9355,3.7803,4.5455,3.0819,3.3096,3.0932,53.4631
8 Sep 2021,4.1573,5.7218,4.9147,3.7738,4.5192,3.0610,3.2781,3.0887,53.4633
9 Sep 2021,4.1480,5.7288,4.9081,3.7745,4.5131,3.0604,3.2672,3.0871,53.3357
10 Sep 2021,4.1325,5.7351,4.8962,3.7604,4.5147,3.0616,3.2800,3.0874,53.1457
13 Sep 2021,4.1500,5.7336,4.8929,3.7686,4.5040,3.0548,3.2752,3.0904,53.3522
,THB100,PHP100,TWD100,KRW100,IDR100,SAR100,SDR,CNY,BND
1 Sep 2021,12.8295,8.2932,14.9676,0.3583,0.0291,110.7023,5.9135,0.6423,3.0839
2 Sep 2021,12.8158,8.3455,15.0235,0.3591,0.0291,110.9185,5.9207,0.6439,3.0951
3 Sep 2021,12.7029,8.3216,14.9946,0.3585,0.0291,110.5853,5.9029,0.6424,3.0902
6 Sep 2021,12.7848,8.3090,15.0423,0.3586,0.0292,110.5749,5.9022,0.6425,3.0903
7 Sep 2021,12.7352,8.2928,15.0447,0.3579,0.0292,110.7986,5.9143,0.6431,3.0932
8 Sep 2021,12.6861,8.2880,14.9941,0.3563,0.0292,110.8423,5.9282,0.6436,3.0887
9 Sep 2021,12.6850,8.3110,14.9839,0.3549,0.0291,110.5956,5.9040,0.6425,3.0871
10 Sep 2021,12.6686,8.2949,14.9755,0.3545,0.0291,110.1824,5.8876,0.6420,3.0874
13 Sep 2021,12.6178,8.3066,14.9749,0.3533,0.0291,110.6460,5.9164,0.6430,3.0904
,VND100,KHR100,NZD,MMK100,INR100,AED100,PKR100,NPR100,EGP
1 Sep 2021,0.0182,0.1015,2.9317,0.2529,5.6768,113.0365,2.4844,3.5480,0.2641
2 Sep 2021,0.0183,0.1016,2.9486,0.2533,5.6950,113.2543,2.4872,3.5589,0.2650
3 Sep 2021,0.0182,0.1013,2.9565,0.2526,5.6749,112.9140,2.4797,3.5468,0.2641
6 Sep 2021,0.0182,0.1013,2.9610,0.2526,5.6764,112.9004,2.4818,3.5478,0.2637
7 Sep 2021,0.0183,0.1015,2.9600,0.2531,5.6613,113.1318,2.4739,3.5383,0.2644
8 Sep 2021,0.0183,0.1016,2.9473,0.2532,5.6529,113.1794,2.4779,3.5330,0.2642
9 Sep 2021,0.0182,0.1014,2.9501,0.2526,5.6409,112.9276,2.4691,3.5257,0.2640
10 Sep 2021,0.0182,0.1010,2.9560,0.2408,5.6280,112.5056,2.4569,3.5137,0.2631
13 Sep 2021,0.0182,0.1013,2.9523,0.2418,5.6344,112.9821,2.4666,3.5214,0.2637
Type
The BNM FX Rates are stored under the type #ForeignExchange
Data ID and Name
Example data id and name
| Data Id | Name |
|---|---|
| BNM_FX.EURMYR_0900 | Bank Negara Malaysia Exchange Rates Euro Per Malaysian Ringgit 0900 |
| BNM_FX.EURMYR_1200 | Bank Negara Malaysia Exchange Rates Euro Per Malaysian Ringgit 1200 |
| BNM_FX.EURMYR_1700 | Bank Negara Malaysia Exchange Rates Euro Per Malaysian Ringgit 1700 |
Attributes
| Name | Value |
|---|---|
| Source | BNM |
| Source Name | Bank Negara Malaysia |
| Name | Bank Negara Malaysia Exchange Rates Euro Per Malaysian Ringgit 0900 |
| Description | Bank Negara Malaysia Exchange Rates Euro Per Malaysian Ringgit 0900 |
| Dataset | BNM_FX |
| Dataset Name | Bank Negara Malaysia Foreign Exchange Rates |
| Market | Financial |
| Commodity | Exchange Rates |
| Product | FX Spot |
| Location | Malaysia |
| Region | Asia |
| Quote Calendar | HMY |
Validation
Data is validated for missing data points.
Licensing
Data is freely available from the BNM website and can be used by clients without permissions
BOC_FX
Bank of Canada Exchange Rates
Bank of Canada Exchange Rates
Overview
All the rates are based on the Canadian Dollar (CAD) - click here for more information on the Foreign Exchange markets.
File Collection
Daily FX rates are collected from https://www.bankofcanada.ca/rates/exchange/daily-exchange-rates/
Schedule
Schedule to process the updates at 23:30 GMT on Canada business days.
Sample File
Type
The BOC FX Rates are stored under the type #ForeignExchange
Data ID and Name
Example data id and name:
| Data Id | Name |
|---|---|
| #BOC_FX_FXEURCAD | Bank of Canada Spot Exchange Rates Euro Per Canadian Dollar |
Attributes
| Name | Value |
|---|---|
| Source | BOC |
| Source Name | Bank of Canada |
| Name | Bank of Canada Spot Exchange Rates Euro Per Canadian Dollar |
| Description | Bank of Canada Spot Exchange Rates Euro Per Canadian Dollar |
| Dataset | BOC_FX |
| Dataset Name | Bank of Canada Foreign Exchange Rates |
| Market | Financial |
| Commodity | Exchange Rates |
| Product | FX Spot |
| Location | Canada |
| Region | America |
| Quote Calendar | HCA |
Validation
Data is validated for missing data points.
Licensing
Data is freely available from the BOC website and can be used by clients without permissions.
BOCH_FX
Bank of China Exchange Rates
Overview
All the rates are based on the Chinese Yuan Renminbi (CNY) - click here for more information on the Foreign Exchange markets.
File Collection
Bank of China (BOCH) file is downloaded from https://www.bankofchina.com/sourcedb/whpj/enindex_1619.html
Schedule
Updates are processed at 10:00 GMT on China business days.
Sample File
In this table, we extract the 6th column ‘Middle Rate’ and load.
Type
The BOCH FX Rates are stored under the type #ForeignExchange
Data ID and Name
Example data id and name:
| Data Id | Name |
|---|---|
| #BOCH_FX.USDCNY | Bank of China Exchange Rates US Dollar per Chinese Yuan Renminbi |
Attributes
| Name | Value |
|---|---|
| Source | BOCH |
| Source Name | Bank of China |
| Name | Bank of China Exchange Rates US Dollar per Chinese Yuan Renminbi |
| Description | Bank of China Exchange Rates US Dollar per Chinese Yuan Renminbi |
| Dataset | BOCH_FX |
| Dataset Name | Bank of China Foreign Exchange Rates |
| Market | Financial |
| Commodity | Exchange Rates |
| Product | FX Spot |
| Location | China |
| Region | Asia |
| Quote Calendar | HCN |
Validation
Data is validated for missing data points.
Licensing
Data is freely available from the BOCH website and can be used by clients without permissions.
BOE_FX
Bank of England Daily Spot Exchange Rates
Overview
All the rates are based on the Great British Pound (GBP) - click here for more information on the Foreign Exchange markets.
File Collection
https://www.bankofengland.co.uk/boeapps/database/Rates.asp?Travel=NIxAZx&into=GBP
Schedule
Daily FX rates are processed around 10.00 GMT the following London business day.
Sample File
Type
The BOE FX Rates are stored under the type #ForeignExchange
Data ID and Name
Example data id and name:
| Data Id | Name |
|---|---|
| #BOE_FX.GBPEUR | Bank of England Spot Exchange Rates Pound Sterling Per Euro |
Attributes
| Name | Value |
|---|---|
| Source | BOE |
| Source Name | Bank of England |
| Name | Bank of England Spot Exchange Rates Pound Sterling Per Euro |
| Description | Bank of England Spot Exchange Rates Pound Sterling Per Euro |
| Dataset | BOE_FX |
| Dataset Name | Bank of England Foreign Exchange Rates |
| Market | Financial |
| Commodity | Exchange Rates |
| Product | FX Spot |
| Location | United Kingdom |
| Region | Europe |
| Quote Calendar | HENG |
Validation
Data is validated for missing data points.
Licensing
Data is freely available from the BOE website and can be used by clients without permissions.
ECB_FX
European Central Bank Reference Exchange Rates
Overview
The European Central Bank (ECB) is the central bank for the euro and administers monetary policy of the Eurozone, which consists of 19 EU member states and is one of the largest currency areas in the world. It is one of the world's most important central banks and is one of the seven institutions of the European Union (EU) listed in the Treaty on European Union (TEU).
The FX rates that are loaded are the ECB Reference rates.
All the rates are based on the EURO - click here for more information on the Foreign Exchange markets.
File Collection
The file is retrieved from the ECB website at http://www.ecb.europa.eu/stats/eurofxref/eurofxref-daily.xml
Schedule
Updates are processed at 16:30 CET on Target business days.
Sample File
Below is the excerpts of the source file for 13th November 2020:
Type
The ECX FX Rates are stored under the type #ForeignExchange
Data ID and Name
Example data id and name:
| Data Id | Name |
|---|---|
| ECB_FX.EURUSD | Euro Foreign Exchange Reference Rates Euro Per US Dollar |
| ECB_FX.EURGBP | Euro Foreign Exchange Reference Rates Euro Per Pound Sterling |
Attributes
| Name | Value |
|---|---|
| Source | ECB |
| Source Name | European Central Bank |
| Name | Euro Foreign Exchange Reference Rates Euro Per US Dollar |
| Description | Euro Foreign Exchange Reference Rates Euro Per US Dollar |
| Dataset | ECB_FX |
| Dataset Name | European Central Bank Reference Rates |
| Market | Financial |
| Commodity | Exchange Rates |
| Product | FX Spot |
| Location | Europe |
| Region | Europe |
| Quote Calendar | HTR |
Validation
Data is validated for missing data points using Target holiday calendar for expected absences.
Licensing
Data is freely available from the ECB website and can be used by clients without permissions.
RBI_FX
Reserve Bank of India Reference Rates
Overview
(https://www.rbi.org.in/HOME.ASPX)
The Reserve Bank of India (RBI) is India's central bank, responsible for the issue and supply of the Indian rupee and the regulation of the Indian banking system. It also manages the country's main payment systems and works to promote its economic development.
All the rates are based on the Indian Rupee (INR) - click here for more information on the Foreign Exchange markets.
File Collection
Since July 10, 2018 Computation and Dissemination has been taken up by FBIL (Financial Benchmarks India Ltd.). Click on the following link to collect data: www.fbil.org.in
Schedule
- The FBIL Reference Rates will be published at around 13.30 Hours on all business days, i.e., excluding Saturday, Sunday and bank holidays in Mumbai
- Schedule to process the updates at 11:00AM GMT on India business days.
Sample File
Connect to www.fbil.org.in. Select ‘FOREIGN EXCHANGE’ tab, choose the dates and fetch in XLSX format. Storage dates are taken from Date column. Exchange rates are from ‘Rates’ column. Currency Pairs like
1 USD = 74.1598 INR
1 JPY = 71.47*1/100 = 0.7147 INR ( Use the Factor 100 from ‘Currency Pair’ column)
If factor is other than 1, multiply 1/factor to Rate to get FX Rate.
Type
The RBI FX Rates are stored under the type #ForeignExchange
Data ID and Name
Example data id and name:
|Data Id|Name| |#RBI_FX.USDINR|Reserve Bank of India Foreign Exchange Reference Rates US Dollar Per Indian Rupee|
Attributes
| Name | Value |
|---|---|
| Source | RBI |
| Source Name | Reserve Bank of India |
| Name | Reserve Bank of India Foreign Exchange Reference Rates US Dollar Per Indian Rupee |
| Description | Reserve Bank of India Foreign Exchange Reference Rates US Dollar Per Indian Rupee |
| Dataset | RBI_FX |
| Dataset Name | Reserve Bank of India Reference Rates |
| Market | Financial |
| Commodity | Exchange Rates |
| Product | FX Spot |
| Location | India |
| Region | Asia |
| Quote Calendar | HIN |
Validation
Data is validated for missing data points using Reserve Bank of India holiday calendar for expected absences.
Licensing
Data is freely available from the RBI website and can be used by clients without permissions.
SARB_FX
South African Reserve Bank Exchange Rates
Overview
All the rates are based on the South African Rand (SAR) - click here for more information on the Foreign Exchange markets.
File Collection
Collect South African Reserve Bank Daily Exchange Rates from Selected Historical Rates (resbank.co.za)
Schedule
Process is scheduled to collect data at 14:00 GMT on business days.
Sample File
Excerpts of input file for date 17/11/2020 is provided below.
Indicators where Rand per US Dollar results in #SARB_FX.USDZAR where Base=USD and Currency=ZAR
Another set of indicators , India: Rupee per Rand results in #SARB_FX.ZARINR where Base=ZAR and Currency=INR
Type
The SARB FX Rates are stored under the type #ForeignExchange
Data ID and Name
Example data id and name:
| Data Id | Name |
|---|---|
| #SARB_FX.USDZAR | South African Reserve Bank Daily Exchange Rates US Dollar Per South African Rand |
Attributes
| Name | Value |
|---|---|
| Source | SARB |
| Source Name | South African Reserve Bank |
| Name | South African Reserve Bank Daily Exchange Rates US Dollar Per South African Rand |
| Description | South African Reserve Bank Daily Exchange Rates US Dollar Per South African Rand |
| Dataset | SARB_FX |
| Dataset Name | South African Reserve Bank Foreign Exchange Rates |
| Market | Financial |
| Commodity | Exchange Rates |
| Product | FX Spot |
| Location | South Africa |
| Quote Calendar | HZA |
Validation
Data is validated for missing data points using the South African holiday calendar for expected absences.
Licensing
Data is freely available from the SARB website and can be used by clients without permissions.
SBP_FX
State Bank of Pakistan Exchange Rates
Overview
All the rates are based on the Pakistan Rupee (PKR) - click here for more information on the Foreign Exchange markets.
File Collection
State Bank of Pakistan Weighted Average Customer Exchange Rates from https://www.sbp.org.pk/ecodata/rates/war/2020/Nov/11-Nov-2020.pdf
Schedule
Process is scheduled to run at 14:15 GMT on business days.
Sample File
Type
The SBP FX Rates are stored under the type #ForeignExchange
Data ID and Name
Example data id and name:
| Data Id | Name |
|---|---|
| #SBP_FX.USDPKR | Bank of Pakistan Exchange Rates |
Attributes
| Name | Value |
|---|---|
| Source | SBP |
| Source Name | State Bank of Pakistan |
| Name | State Bank of Pakistan Weighted Average Customer Exchange Rates US Dollar Per Pakistan Rupee |
| Description | State Bank of Pakistan Weighted Average Customer Exchange Rates US Dollar Per Pakistan Rupee |
| Dataset | SBP_FX |
| Dataset Name | State Bank of Pakistan Foreign Exchange Rates |
| Market | Financial |
| Commodity | Exchange Rates |
| Product | FX Spot |
| Location | Pakistan |
| Region | Asia |
| Quote Calendar | HPK |
Validation
Data is validated for missing data points using the Pakistan Bank holiday calendar for expected absences.
Licensing
Data is freely available from the SBP website and can be used by clients without permissions.