Is there a feature in ecom to automatic update the currency from ex. http://www.nationalbanken.dk/dndk/valuta.nsf/valuta.xml or do I have to code it from scratch?
No. Make a straight forward aspx that you call from a scheduled job (or manually). Let it read the xml feed and use the content for updating the currencies. If you wish you can also register the aspx as a module using the Developer Module and let it have an admin page, if you wish to have settings for the module.