I'm trying to figure out how to calculate the NYBOT Dollar Index based on the individual currency quotes. The individual currency weightings are: EUR 57.6%, JPY 13.6%, GBP 11.9%, CAD 9.1%, SEK 4.2%, CHF 3.6%. Their individual symbols and last quote (taken from the NYBOT web site) are: EO 12897 YY 11464 YP 19063 YD 11190 KU 71065 YF 12209 The last quote of the DX is 8450 as stated on the NYBOT web site. How do I divide the six individual currency quotes, and come up with the exact number 8450?

I found a calculator that does it right: http://www.page88.co.za/cr/dx.shtml Using the values: 1.2897 114.94 1.9063 1.119 7.1065 1.2209 which gives a value of 84.49 which is near 84.50 which is the value displayed on NYBOT for the DX. Looking at the code for this script, which is in Javascript, I still can't figure out how it's calculated: http://www.trendwaysfin.com/historic/dx.js

Everything you ever wanted to know about USDX and more: www.nybot.com/productpages/USDX/pdf/usdx.pdf NOTE: the formula on p. 4 is completely bungled, to the point of being useless - missing the "Product" symbol, from i=1 to 6, as well as missing... just about everything else. :eek: Also see: www.nybot.com/education/brochuresPublications/files/currency.pdf Here's the correct formula, using your numbers: (1 / 1.2897) ^ .576 x 114.94 ^ .136 x (1 / 1.9063) ^ .119 x 1.119 ^ .091 x 7.1065 ^ .042 x 1.2209 ^ .036 = = .8637 x 1.9064 x .9261 x 1.0103 x 1.0858 x 1.0072 = = 1.6849. 1.6849 x 50.14348112 = 84.49. You are taking the trade-weighted, geometric average of the 6 currencies in the basket, times a constant such that USDX (March 1973) = 100. First, euro and pound need to be converted from direct to indirect quote, for consistency. Have fun...

Wow, that's exactly what I needed! Thanks. I'm using this to create my own DX quote with Excel DDE and the IB (InteractiveBrokers) forex feeds. Free Dollar index with IB.

I am now taking this formula and creating a special custom symbol within Ensign's charting software with their scripting language ESPL. This will allow me to chart the dollar index real-time with only the feeds available from IB. My topic on that here: http://www.elitetrader.com/vb/showthread.php?s=&postid=1166805#post1166805