Currency rates bloomberg professional#

For metals, the linear TWAP will start six hundred seconds (ten minutes) before the fix and then decay for six seconds after the fix.For all other currencies, spots, and outrights, the linear TWAP will start nine hundred seconds (fifteen minutes) before the fix and then decay for six seconds after the fix.For G10 currencies, spots, and outrights, the linear TWAP will start three hundred seconds (five minutes) before the fix and then decay for six seconds after the fix.The length of time used in the TWAP will be as follows: A linear TWAP of quotes will be used in a triangular function with the peak of the triangle at the fix having a 10% weight and linear around that. The Bloomberg “BFIX” are FX rates that are half-hourly snapshots of the BGN, using a time-weighted average price (“TWAP”), around the fixing time.

Currency rates bloomberg professional#

BFIX rates are available on the Bloomberg Professional Service on BFIX.

The BFIX rates are created by taking a Time-Weighted Average Price (TWAP) of the geometric mid-rates of Bloomberg Generic (BGN) prices leading up to and following the fixing time. BFIX rates are generated every 30 minutes on the hour and half-hour. The Bloomberg BFIX rates are FX reference rates intended to represent FX market prices around publication times. BGN is designed to track executable bid/ask rates and to be resistant to manipulation by market participants.

All data is provided for information only and not intended for trading purposes Bloomberg does not guarantee the accuracy of the data.īGN is a sophisticated pricing algorithm that produces accurate indications of bid and ask quotes that are derived from hundreds of quality sources, including indicative and executable price quotes from money-center and regional banks, broker-dealers, inter-dealer brokers, and trading platforms. The data is NOT based on any actual market trades. To learn more about foreign exchange solutions from Bloomberg please contact us.Ĭurrency rates are representative of the Bloomberg Generic Composite rate (BGN), a representation based on indicative rates only contributed by market participants. Additional currency data is available in real-time via the Bloomberg Terminal. On and Bloomberg consumer mobile applications currency data is delayed 5 minutes (all times in ET).