Foreign Exchange cross rate service
The Foreign Exchange (FX) Cross Rate Service synthetic datasource, connects to either one or two underlying sessions (which may be either an IAF adapter or another synthetic datasource), and calculates a synthetic cross based on two separate currency pairs and re-publishes them within the correlator. For example, use EUR/USD and USD/JPY as a means of publishing the synthetic cross rate of EUR/JPY.
The Synthetic Cross Rate Service supports connections to sessions which have the following datastream capabilities, and will attempt to connect to them in the following order of priority:
1. AggregatedBook
2. Depth
3. Orderbook
4. Best Bid Ask