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Quantitative Finance · Glossary

What is Synthetic cross?

Definition 21.1 Market Making and High-Frequency Trading · Chapter 21 — FX Market Making

A synthetic cross is a price for a currency pair built from two pairs that share a currency, such as euro-yen from euro-dollar and dollar-yen, with its bid from the legs’ prices that the provider can hit and its offer from those it can lift.

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