Trading glossary
Value date
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The value date is the day a foreign exchange trade actually settles, conventionally two business days after dealing, and the date an open position is rolled forward to each night.
The settlement day of a trade, as distinct from the day it was agreed. Foreign exchange deals conventionally settle two business days after dealing, a convention written as spot, with a small number of pairs settling one business day after instead, the US dollar against the Canadian dollar being the usual example. A forward contract is simply a trade whose value date has been agreed further out than the spot convention allows.
The date is counted rather than chosen. Days are advanced from the trade date, skipping any day that is not a business day in the principal centre of either currency, so a public holiday in one of the two countries pushes the settlement out even when the other market is open. Retail positions never reach delivery, because the value date is pushed forward again every night: the near leg is closed and reopened for the following date by a short dated swap, and the interest owed between the two dates arrives on the account as the financing figure. One weekday in the ordinary week rolls a value date across the weekend and therefore settles three days of interest at once.
The confusion worth clearing up is that two different clocks are at work and only one of them is the value date. A provider's daily cut off is a time on a server, and it decides when the roll happens. The value date decides how many days of interest that roll settles, which is why a single roll can carry one day of financing on most nights and three on one of them without the cut off time changing at all. On a statement the trade date and the value date are separate columns, and reconciling a financing entry against the wrong one is the usual source of a query.
How it is calculated
The spot value date is the trade date advanced by the settlement convention for the pair, counting only days that are business days in the principal centres of both currencies.
Two rolls under a two business day convention
- Convention assumed for the pair
- Two business days
- Roll on an ordinary weekday
- Value date moves forward 1 day, 1 day of financing
- Roll on the weekday whose value date crosses the weekend
- Value date moves forward 3 days, 3 days of financing
- Financing settled across a week of holding
- 7 days, arriving on 5 roll dates
Illustrative day counting, not a schedule. The weekday that carries three days of financing differs by instrument and by provider, a public holiday in either currency's centre shifts every date after it, and no rate is implied by the counts above.
Where you see it
MetaTrader 5 states which weekday an instrument applies three days of swap on inside the symbol specification. On MetaTrader 5 the result of each roll appears as the Swap figure on the open position rather than as a date.
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