FX Transaction Costs for Mid-2023 to Min-2024 Survey

The information collected in this survey will be used to generate an open-source transaction cost dataset aimed at providing a more realistic Profit and Loss (P&L) for back-testing and plausibility of trading strategies.

Please estimate your average mid-2023-mid-2024 costs of a single trade in forward points, i.e., typical difference between spot and forward exchange rate. Bid-offer refers to the costs for purchasing or selling a new 1-month FX forward contract. Rolling refers to changing an existing contract that is at maturity into a new 1-month forward contract. The survey for a normal trade size (median) and a large trade size with more market impact (90th percentile trade), whose USD or EUR values are shown next to the box.

Transaction Costs Table
Please enter a valid email address.
Please fill in at least one row.
You have an incomplete row.

  • Please fill as many fields as possible and leave blank those that you have no experience with.
  • Each participant will receive a trading cost compass illustrating the average costs of trading the forward under certain assumptions.

Currency Pair Spot (28th May 2024) Median Large
Trade Size Bid-Offer
(forward points)
Roll-Cost
(forward points)
Trade Size Bid-Offer
(forward points)
Roll-Cost
(forward points)
EUR DM EURCHF 0.99 50mn EUR 100mn EUR
EUR DM EURGBP 1.3895 50mn EUR 100mn EUR
EUR DM EURNOK 11.0472 50mn EUR 100mn EUR
EUR DM EURSEK 11.4099 50mn EUR 100mn EUR
EUR EM EURCZK 24.6808 50mn EUR 100mn EUR
EUR EM EURHUF 384.2681 50mn EUR 100mn EUR
EUR EM EURPLN 4.2567 50mn EUR 100mn EUR
EUR EM EURRON 4.9739 25mn EUR 80mn EUR
USD Asia USDCNH 7.21 25mn USD 100mn USD
USD Asia USDIDR 16080 25mn USD 100mn USD
USD Asia USDINR 83.18 25mn USD 100mn USD
USD Asia USDPHP 57.97 25mn USD 80mn USD
USD Asia USDTHB 36.81 25mn USD 100mn USD
USD Asia USDTWD 32.773 25mn USD 100mn USD
USD DM AUDUSD 0.6664 25mn USD 120 mn USD
USD DM EURUSD 1.0875 50mn USD 120 mn USD
USD DM GBPUSD 1.2777 50mn USD 120 mn USD
USD DM NZDUSD 0.6156 50mn USD 120 mn USD
USD DM USDCAD 1.3636 50mn USD 120 mn USD
USD DM USDJPY 150.465 50mn USD 120 mn USD
USD DM USDKRW 1358.58 50mn USD 120 mn USD
USD DM USDSGD 1.3478 25mn USD 100mn USD
USD EMEA USDILS 3.6779 25mn USD 80mn USD
USD EMEA USDZAR 18.2889 25mn USD 100mn USD
USD LatAm USDBRL 5.1995 25mn USD 100mn USD
USD LatAm USDCLP 808 25mn USD 80mn USD
USD LatAm USDCOP 3842.3 25mn USD 80mn USD
USD LatAm USDMXN 16.7974 25mn USD 100mn USD
USD LatAm USDPEN 3.75 25mn USD 80mn USD

As an example of how the costs are calculated (under the abstract assumption of no change in the spot rate), imagine on Friday the 1st of March 2024 we buy 50million EURUSD 1-month FX forward contract at bid-offer spread 0.018987 forward points (i.e. a cost of 50million EUR * 0.018987 = 0.94935 million EUR). On Tuesday the 1st of April 2024 we roll over the now matured position of 50million EURUSD spot into a new 1-month FX forward contract at roll costs 0.001899 (roll costs 50million EUR * 0.001899 = 0.09495 million EUR). Lastly on Wednesday the 1st of May 2024 we sell the position of the 50 million EURUSD at bid-offer spread 0.018987 (total costs 50million EUR * 0.018987 = 0.94935 million EUR).

Consent

By participating in this survey, you consent to the collection and use of your data as described below in this notice. 

Legal 
  • Data Collected: We collect your email address to manage and update submission along with at time stamp to manage resubmission. You can enter data on a rolling basis. If you need to update transaction data, you can resubmit the form using the same email address. The new submission will replace the previous one linked to that email address. 
  • Data Anonymization and Usage: The transaction costs will be aggregated and averaged, ensuring no single submission can be traced back to an individual respondent. 
  • Data Storage and Security: All data collected will be securely stored on a secure AWS database.
  • Data Retention: Your data will be retained only for as long as necessary to fulfil the purposes outlined in this notice. If you have any questions about how we handle your data, please contact us at info@macrosynergy.com. 

Thank you for your participation.