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Analytics

NCFX offers a suite of advanced post- and pre-trade tools as well as streaming analytics that allow our clients to evaluate FX trading costs and navigate toward optimal execution.

NCFX is an FCA-authorised benchmark administrator.

We produce and publish the world’s only continuous, officially regulated benchmark rates for Spot and Forward FX.

Post-Trade Analytics

Detailed contextualised feedback on trades. Our Transaction Cost Analysis (TCA) goes well beyond measuring the cost of a trade. It can provide detailed contextualised feedback on your trading activities allowing you to manage your trading relationships, understand the impact of your trading choices, and explore ways to systematically reduce your costs.

TCA Hub. The NCFX TCA Hub delivers a class-leading suite of advanced metrics from which to analyse your FX transactions. The Hub can be directly integrated with your existing systems, is fully automated, and is configurable for each unique client workflow to provide powerful real-time analytics such as outlier detection and management.


Pre-Trade Analytics

Actionable information for course correction throughout a trade. NCFX has developed a new evolution of pre-trade tools that deliver actionable, 'in-flight' analysis, guiding our customers step-by-step through the lifecycle of a trade.

Unique, granular, real-time datasets. We combine unique, large datasets and real-time market data, to derive trading strategies that minimise splash and provide optimal course correction throughout trades.

Trade optimiser. Our real-time trading guide ensures that when our clients execute an order, they stay as close to the optimal path as possible. The tool provides simple step-by-step instructions on how to steer the trade to the best possible outcome. The tool continually recalculates to keep track of market conditions and to ensure the trade path remains optimal.

Real-time pre-trade dashboard. Easy access to market insights like central bank dates and pricing, market volatility and liquidity context; and real-time data like volatility, momentum, and drift allow assessment of potential trade outcomes.

Expected outcomes data. Customers can use advanced calculations related to expected trade outcomes - dynamically updated based on live market conditions - to understand the optimal pathway or to build or test their own bespoke models.

Minimise market impact. Our advanced models are trained to account for momentum, volume, volatility and drift to minimise market impact for the level of risk undertaken.

Analytics APIs:

NCFX offers multiple streaming analytics combining NCFX data with proprietary analytical models.

TCA calculations

TCA — calculates the cost of a trade at the point of execution.

Implementation Shortfall — calculates transaction costs at different moments in the life cycle of a trade from origination to completion.

Decay — calculates transaction cost mark outs at different intervals before and after the execution timestamp.

Market Impact — calculates effective spread which is decomposed into Temporary Costs and Permanent Costs. The calculation examines differences between the arrival mid-rate when an order is submitted and the dealt rate when an order is completed.

Volatility

USD cost of volatility — calculates the inventory risk of an FX transaction based on the time interval between the arrival timestamp and the execution timestamp.

Unit cost of volatility — expresses transaction costs (effective spread) as a ratio to the underlying volatility over which the costs/gains were generated providing users with a metric that identifies risk adjusted costs.

Interpolator

Last Rate — delivers a single point forward mid-rate for a requested value date at the time specified by the query.

Timeseries — delivers every forward mid-rate update between two points of time for a requested value date.

Sequence — delivers a single point forward mid-rate for each value date for a selected number of days.

Spread Last Rate — simultaneously calculates two Last Rate queries producing the spread between the near value date and far value date.

Spread Timeseries — delivers every Spread Last Rate update for a given time interval.

Shining a light on the true costs of trading foreign exchange.

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Tel: 020 8152 4312

Email: info@newchangefx.com

Corporate Responsibility. NCFX adheres to the principles set out in the following international codes of ethical conduct: OECD Guidelines for Multinational Enterprises, UN Global Compact, UN Guiding Principles on Business and Human Rights, ILO Conventions: Child Labour (C138, C182); Forced Labour (CO29, C105); Discrimination (C100, C111); Freedom of Association (CO87, C098).

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