BrioQuant Euro Index

The euro index on your chart, built live from your own broker's five euro pairs.

When EURUSD falls you cannot tell from EURUSD alone whether the euro is weak or the dollar is strong. An index answers it. Put this under any chart and you are looking at the euro on its own terms, measured against the pound, the yen, the franc and the krona as well as the dollar.

It uses the New York Board of Trade Euro Currency Index formula.

• EUR/USD 31.55%
• EUR/GBP 30.56%
• EUR/JPY 18.91%
• EUR/CHF 11.13%
• EUR/SEK 7.85%

Said plainly: this index is no longer published. The New York Board of Trade, later ICE Futures U.S., ran it from a 2006 launch until 2011, when the futures were delisted and calculation stopped. What you get here is a faithful continuation of that formula on live rates. It is not a feed of anything an exchange still publishes, and it is not the same as ICE's later Euro FX Index, which uses a different basket and reads several points higher. Any broker instrument labelled EURX is that broker's own construction and may sit on a different scale again.

It reads the same as version 1.0. If you already use this indicator, the update does not move your line. Two independently written builds three years apart agree to a thousandth of a point on the same rates. Everything below is added on top of that. The one visible change is the pane's label, which now reads BrioQuant Euro Index rather than EURX.

True candles, not approximated ones. The high of an index is not the index of the highs, so rather than guess, every candle is built by walking the bars inside it - every minute on charts up to H1, wider steps above that - calculating the index at each step, and taking the real high and low of that series. Wick, up body and down body are each independently colourable. Switch to a line whenever you prefer one.

An optional VWAP. Anchored daily, weekly, or run continuously. The index has no traded volume of its own, so this weights by the combined tick volume of the five pairs over the same step - a measure of how busy the euro was.

It finds your pairs whatever your broker calls them. EURUSD.a, EURUSDm, EURUSD_i, mEURUSD - all matched automatically, and added to Market Watch for you. Nothing to add by hand.

It draws when the market is shut. The series is built from bar history rather than from live ticks, so it is on your chart at the weekend.

Two moving averages, both optional. Independently switchable, each with its own period, colour and choice of Simple, Exponential, Smoothed or Linear Weighted.

It tells you when something is missing. Not every broker carries EURSEK. When a pair is absent the indicator names it in the window title so you know exactly what to add, and there is an option to draw a four-pair index instead, which relabels itself so you always know which one you are looking at.

Settings

• Draw as candles or as a line
• Candle colours - wick, up body and down body
• Line colour
• How many bars to build true candles for
• A line at the current value, with its own colour and style
• VWAP - on/off, reset daily or weekly or never, and its colour
• Moving average 1 - on/off, period, method, colour
• Moving average 2 - on/off, period, method, colour
• Price used for the live bar - Mid or Bid
• Behaviour when a pair is missing
• Show the current value in the window title

Worth knowing

The index is calculated from the quotes your own broker publishes, so read it for direction, strength and crossovers rather than as a level to arbitrage against anything. EURSEK history varies by broker, and the true candles reach back as far as your own intrabar data allows - the line covers the rest.

Tell me what would make this more useful. Post the change you want in the comments - I read every one and build what I can.