On Monday, October 21, international derivatives marketplace CME Group will launch the new CME Cross Currency API.
This is a complementary REST API to retrieve the existing EUR/USD Cross Currency Basis Index data, which measures the basis point deviation from the covered interest rate parity implied forward FX price.
The CME Cross Currency API is available 24 hours a day, 7 days a week. Clients systems should consider all returned data to be accurate at the time of the request submission.
The latest index rates will publish and be available at approximately 3:10 PM UTC daily, Monday through Friday with exceptions based on the CME holiday calendar. The data should arrive on the REST API within about 5 seconds of print.
CME Cross Currency API uses OAuth authentication, an open protocol that supports secure authorization in a simple, standard method and decouples authentication from authorization.
