My thanks to ScottMc for his comment: 

 

"As a Canadian, I have had to change money many times and try to get a good rate,
the last few years the way I get the best exchange rate is that

1. I can hold both currencies in the same account
2. I will buy an interlisted securities shares with good volume EG TD Bank on the TSX
in Cdn$
3. I will immediately sell the TD shares on NYSE in US$"  

 

I checked this idea out with a representative I have known for several years at my online brokerage today as well as with a regular broker who handles some managed accounts for me and both agreed it was a great idea that would work well for near simultaneous transactions where you are willing to risk losing if currency goes wrong while you are in the transaction and also if the exchange rate saved is greater your trades cost.