Bloomberg describes how its Generic Composite rate (BGN) is produced
Bloomberg describes BGN as a pricing algorithm that produces what it calls accurate indications of bid and ask quotes. It says these come from hundreds of sources, including indicative and executable price quotes from money-center and regional banks, broker-dealers, inter-dealer brokers and trading platforms, and that BGN is designed to track executable bid/ask rates and to resist manipulation by market participants. This is Bloomberg's own description of its method. It sits beside the statements that the data is indicative, not based on actual trades, and carries no accuracy guarantee.
Supporting quotations
BGN is a sophisticated pricing algorithm that produces accurate indications of bid and ask quotes that are derived from hundreds of quality sources
including indicative and executable price quotes from money-center and regional banks, broker-dealers, inter-dealer brokers, and trading platforms
BGN is designed to track executable bid/ask rates and to be resistant to manipulation by market participants.
Qualifications & exceptions
The description is of design intent ("designed to") and Bloomberg's characterization, not a commitment to a result.
Not stated here
The document does not say how sources are selected or weighted, or what makes a source "quality".
Inference & Profiling · Company practice
BFIX reference rates are half-hourly time-weighted averages of BGN prices
Bloomberg BFIX rates are FX reference rates meant to represent FX market prices around publication times. They are generated every 30 minutes, on the hour and half-hour, as a time-weighted average price (TWAP) of the geometric mid-rates of BGN prices before and after the fixing time. The document adds that a linear TWAP is used in a triangular function, with the peak at the fix carrying a 10% weight and weights falling linearly around it. BFIX rates are stated to be available on the Bloomberg Professional Service under BFIX.
Supporting quotations
The Bloomberg BFIX rates are FX reference rates intended to represent FX market prices around publication times.
BFIX rates are generated every 30 minutes on the hour and half-hour.
Time-Weighted Average Price (TWAP) of the geometric mid-rates of Bloomberg Generic (BGN) prices leading up to and following the fixing time
A linear TWAP of quotes will be used in a triangular function with the peak of the triangle at the fix having a 10% weight and linear around that.
BFIX rates are available on the Bloomberg Professional Service on BFIX.
Qualifications & exceptions
The rates are described as intended to represent FX market prices around publication times, not as executed trades.
Availability is stated for the Bloomberg Professional Service.
Not stated here
The document does not say whether BFIX rates are shown on Bloomberg.com or the consumer mobile apps.
Inference & Profiling · Procedure
BFIX averaging window is 5, 15 or 10 minutes before the fix, depending on the instrument
The length of the averaging window depends on what is being fixed. For G10 currencies, spots and outrights, the linear TWAP starts 300 seconds (five minutes) before the fix. For all other currencies, spots and outrights, it starts 900 seconds (fifteen minutes) before the fix. For metals, it starts 600 seconds (ten minutes) before the fix. In every case the TWAP then decays for six seconds after the fix.
Supporting quotations
For G10 currencies, spots, and outrights, the linear TWAP will start three hundred seconds (five minutes) before the fix and then decay for six seconds after the fix
For all other currencies, spots, and outrights, the linear TWAP will start nine hundred seconds (fifteen minutes) before the fix and then decay for six seconds after the fix.
For metals, the linear TWAP will start six hundred seconds (ten minutes) before the fix and then decay for six seconds after the fix.
The length of time used in the TWAP will be as follows:
Qualifications & exceptions
Three groups: G10 currencies (spots and outrights), all other currencies (spots and outrights), and metals.
The after-fix decay is six seconds for all three groups.
Not stated here
The document does not define which currencies are G10 or what "outrights" means.