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Forex Yearly Transaction Cost Params
Measured trading-cost parameters for currency pairs, one row per pair and year, from 2009 on.
Columns
symbol: the pair, base then quote (EURUSD,USDJPY). A pair and its inverse have the same relative spread.year: calendar year the parameters were measured over.price: the time-weighted mid over London and New York hours.spread_bps: the full quoted spread in basis points, time-weighted over 07:00-21:00 UTC of the sampled days. A round trip crosses half of it on each side.lambda_bps: null. Kyle's slope needs signed trade flow, and the source publishes forex quotes but no forex trades.
How it was measured
Two days a month are read (the 5th and the 20th, or the next quoted day), and
the spread is weighted by how long each quote stood, over London and New York
hours only. A spread weighted over the full 24 hours is dominated by the thin
Asian and late-US hours -- on EURUSD, 2024-05-15, 4 500 quotes an hour at
02:00-05:00 UTC against 13 800 at 12:00 -- which a backtest on daily bars never
trades in.
Caveats
- Sampled, not exhaustive: this measures the level of a pair's spread by year, not its day-to-day variation.
- The quotes are one consolidated institutional feed. A retail account pays a mark-up on top of these spreads.
- Rows with no measurable spread, or a zero spread, are not published: a lookup that misses is uncovered, not free.
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