its SST20 algorithm is an institutional-quality reference rate for the
strength of 10 single currencies. The SST20 is licensed to AccuStrength
clients who use it as the reference rate for tens of millions of
dollars in outstanding derivative assets. The overview below gives a
conceptual explanation of the algorithm underlying SST20 and an
explanation of why a truly robust index is necessary for this market.
As the technology for currency market analysis continues to evolve and
grow, so does the need for instruments like AccuStrength to help
sophisticated investors manage risk. The unique dynamics of the
currency markets make it difficult to determine a reliable and
broadly-applicable strength at a given moment. Large spreads between
rates at different exchanges and near-zero visibility of large,
off-exchange trades mean widely varying data inputs. Looking at the
world’s highest-volume exchanges, it’s not uncommon to see spreads of
2-5% or more, particularly during periods of high volatility. The
frequency of single-venue anomalies, where the rate of one exchange
diverges substantially from the others can affect speculative traders.
DataCompile draws from a variety of data sources to make the SST20
index the market’s most robust, institutionally-focused reference rate.
In addition to data from various global exchanges, DataCompile is also
the only company in the world able to incorporate “weighing” for
individual currencies. The data is obtained through unique agreements
with our institutional clients.
With each constituent data source indicating a different price for
similar pairs, the weighting of each input on SST20 is
considered. Accordingly, DataCompile employs a proprietary
algorithm to ensure the SST20 serves as an appropriate reference in all
market environments. When calculating the strength, all data is
immediately cleansed and validated to ensure the reliability of any
contributing feeds. Data from all inputs are weighted against each
other based on recent- and long-term activity and the variance in price
across all data points.
The result is a reference rate that follows market liquidity in real
time while discounting any anomalous trading.
While the exact algorithm behind SST20 remains proprietary, the
performance of the index speaks for itself. data is provided 24/7 with 98.92% uptime.