New Change FX, an independent data and analytics business, announced this week via its blog that it has launched a suite of new foreign exchange (forex) APIs, which give its users access to the New Change FX TCA Calculations and Models and to the company’s regulated benchmark data.
New Change FX provides a live spot FX benchmark that has been authorized by both the European Securities and Markets Authority (ESMA) and the Financial Conduct Authority (FCA). The company also offers other consolidated forex reference rates.
New Change FX APIs
“Within the API suite we are pleased to add new models that calculate the Efficient Trading Frontier for a given transaction and an Estimated Market Impact model,” the company said on Thursday via its blog.
“These models can be run pre-trade in order to better inform traders of market conditions before execution, and post-trade to judge the efficiency of an execution strategy. This is a significant step away from naïve spread modelling as prevailing volatility and drift conditions are considered in these new models.”
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Clients are able to access data and calculations from the API suite. Through its data APIs, the information that can be accessed is the Last Rate, which is the single price per currency pair and time, Timeseries (tick data between two points), Open High Low Close (OHLC), and Time Weighted Average Price (TWAP).
For New Change FX’s calculation APIs, users can measure and analyze live trading performance. The calculations supported via these APIs are implementation shortfall, decay for both pre and post-trade, and market impact.
The data and analytics firm also has added Model APIs, which “run proprietary pre-trade and post-trade analytics to identify the optimal trading trajectory and efficient price for a given currency pair, amount, trade start time and end time,” the company said.
The models provided through these APIs give New Change FX’s customers the ability to forecast the effects of trading and, therefore, adjust their execution strategy so they can trade more efficiently.