Weekend FX Rates from Crypto Markets

Article Quant Q&A · Author: Invictus

Summary

The document asks whether reliable foreign-exchange prices are available during the weekend, when conventional spot markets are largely closed. The response cautions that quotes visible during quiet hours can be stale, making them poor evidence of current market levels.

As a possible proxy, it suggests using continuously traded cryptocurrency markets. By comparing the prices of the same digital asset quoted in two currencies, one can estimate a cross rate, such as euro against the dollar. The answer also notes that crypto futures may trade more actively than cash markets, while margin requirements still rely on spot assets. This is an illustrative approach rather than a validated data source: liquidity, stale trades, and differences between crypto-market pricing and FX rates can limit its reliability.

Key ideas

Weekend FX quotes may be stale even when a data feed displays prices.
A cross rate can be approximated by dividing prices for the same crypto asset quoted in different currencies.
Crypto markets trade continuously and may provide weekend price information.
The proxy’s usefulness depends on liquidity and the freshness and representativeness of the underlying trades.

Tags

Forex Crypto Spot markets Futures Market microstructure

Full text

# Reliable weekend forex source that can act as credible data for Monday APAC morning forex trade


# Reliable weekend forex source that can act as credible data for Monday APAC morning forex trade












In general most of the forex market closes by 10:00 pm london time on Friday and opens back on Monday morning APAC time , somewhere around Sunday evening London time. I am interested in knowing if there are some reliable forex spot ( may be even forwards or future ) trade happening on Saturday or during first half of Sunday.

If so what are those and how can i have look at those data ?

Thanks

## Answer by ThatDataGuy (score 1)

https://quant.stackexchange.com/a/59461

Well it depends on what pairs you want data for. But in general, no. Even if you can see intraday data in those 'dead' times, the quotes can be very stale (hours old).

## Answer by StackG (score 1)

https://quant.stackexchange.com/a/60069

As others have mentioned, the conventional answer is 'no'.

However, here is one interesting angle of the new cryptocurrency trading market to me - it operates 24/7/365 (yes even Christmas day!). Now I'm told that the biggest markets are the US and Korea, so perhaps, given sufficient liquidity, we could back out a USDKRW rate over the weekend given the USD and KRW spot rates for a given digital asset?

The futures markets are more liquid than the cash, but as the margin requirements need to be posted in spot, that should guarantee some transaction quantity round-the-clock.

Here is the futures exchange at binance.com ticking away very happily on Saturday morning

And here is a python snippet (provided caveat emptor!) that will pull the most recent BTC-USD and BTC-EUR trades from coinbase, and calculate the approximate rate for EURUSD any time - weekend not a problem! You will need to `pip install cbpro` first:

```
import cbpro

public_client = cbpro.PublicClient()

for x in public_client.get_product_trades(product_id='BTC-USD'):
    last_USD = x
    print("Dollar last trade time: {}".format(last_USD['time']))
    break

for x in public_client.get_product_trades(product_id='BTC-EUR'):
    last_EUR = x
    print("Euro last trade time: {}".format(last_EUR['time']))
    break

float(last_USD['price']) / float(last_EUR['price'])
```

Which gives:

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.

Using 24/7 Crypto Markets to Estimate Weekend FX Rates

Summary

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