If any program can transfer data from .ofx files to .qxf, it would be Quicken accounting software. This conversion is probably used when you try to convert the format used in Windows version of Quicken in the OS X version. For some reason Quicken uses different extension for exchange formats on different platforms.
Convert Open Financial Exchange format to Quicken Essentials for Mac financial data exchange file.
We have found 2 software records in our database eligible for .ofx to .qxf file format conversion.
Microsoft Windows software - convert ofx to qxf on Windows
A personal finance management program by Intuit
Convert from ofx file format
The tables with software actions are a good pointer for what a certain program does with various file types and often may give users a good hint how to perform certain file conversion, for example the above-mentioned ofx to qxf. However, it is not perfect and sometimes can show results which are not really usable because of how certain programs work with files and the possible conversion is thus actually not possible at all.
Apple macOS / Mac OS X software - convert ofx to qxf on OS X
Mac version of popular Quicken personal finance management software