Cash Forex Trade Volume

T

tharnett

Does anyone have an idea of where I could find intraday trade volume for forex? I have read some of the older threads here at ET and get the sense this data is not available because of the decentralized nature of forex. That's fine and will probably be that way until it is more centralized. However, is there a bank or broker out there yet that is sending this data out just based on the trade volume going through their books? If not, I think this would be a great idea for one of the larger players in the cash FX market to do.

Regards,
Trevor
 
Hi Trevor.

Actually there is a bank that does that: Bank for International Settlements (www.bis.org). Its a bank for central banks.
They do the survey once in 3 years. New release is expected this year.
Read here: http://www.bis.org/press/p030703.htm

The 2001 survey, in which 48 central banks and monetary authorities participated is avaliable here: http://www.bis.org/press/p011009.pdf

Now there is a lot of talking that the volumes have increased.

in the attachment there is a table of the volumes back then and recent years of that 2001 report.

enjoy,

Rezo
 

Attachments

Also, lets not forget that this market is very different from other markets. Market makers/brokers that offer retail platforms are not actually executing orders directly to the interbank market - you do not deal with the bank, you deal with them.
Online FX volumes are a different story and although they can and do trade and clear some trades with banks (their own trades - not nessesarily your trades), FX volume is something different. We are talking mainly about interbank transactions, i.e. trading between the banks when we talk about this market.
BWT, you can read about increasing volumes of online FX platforms here:
http://www.finextra.com/fullstory.asp?id=11624
You can see the difference. numbers say it all.
BTW, if you look at the attachment in the previous post, you can see that spot market share of volume is/was around 30% of overall FX instruments...the quotes that we trade with are still from the interbank market, where the overall volume is above 1 trill.. so you have to understand the difference of this market from other actual physical markets.. you are trading the market that doesn't have specific location and you actually don't trade it as long as you trade with retail brokers - and actually there is no sense in trading it unless your trades are of over 10 million.. and even then, its questionable. I cannot tell for sure, but at the moment my volume is around 3 million a trade and so far retail broker is ok. I am considering switching to institutional platform where you deal directly with banks, but its still unclear if it will benefit for me at the moment... well its another story.

best,

Rezo
 
Rezo,
Thanks for your insightful comments. I trade the Euro FX futures occasionally and it is obvious to me that there are arbs at work in this market. Do you feel they are a few of the banks making markets in the futures and then executing against their order book in the cash if they get hit in the futures? Just interested in your opinion based on your experience in the cash.

Thanks,
Trevor
 
I sometimes take a small position for a scalp

based on a volume spike after a intraday move in the futures

win some / lose some

:p
 
Fxcm provides Thomson's IFR Forex Watch news as a plugin in their trading platform and several 'volume/$amount' reports appear weekly including data by country (no examples as the system is offline at present).

Notable is the amount of options that are traded and often reported in the several daily updates eg:

"Tue Apr 13/04, 05:07pm. 19:52 GMT April 13: ... EUR/USD blew through the 61.8% Fibo of the 1.1380/1.2930 rally at 1.1970 straight away, and quickly overcame the 1.1950 exotic options barrier...".

Possible source of info: http://www.dailyfx.com/index.html
 
I am not that knowledgeable about cash f/x, but the following is my understanding. Currency quotes provided by Bloomberg, Reuters, Bridge, etc are indicative quotes providing just the best bid and offer. Alongside that information, sometimes the contributor bank is also provided.

As to actual transactional volume with last traded price and last traded volume, I would think that it only available to the major banks and institutions active in within the inter-dealer market. "Shops" like Tullett and Tokyo, Liberty, Garban, GFI, Exco (?) come to mind.

I understand Reuters EBS dealing platform would also provide this data. Perhaps, it would be possible to source this feed (EDS live) from them? I know Cantor e-speed sells their data feed as a stand-alone.

My knowledge of the above is a little spotty; please feel free to correct any glaring omissions or errors!!

All the best,

Gerard
 
Quote from tharnett:

Rezo,
Thanks for your insightful comments. I trade the Euro FX futures occasionally and it is obvious to me that there are arbs at work in this market. Do you feel they are a few of the banks making markets in the futures and then executing against their order book in the cash if they get hit in the futures? Just interested in your opinion based on your experience in the cash.

Thanks,
Trevor
More...

Hi Trevor.

I cannot talk much about futures market because I am not concentrating on it much and don't trade it. But I can say for sure that no matter how large the bank is and no matter how big its trading volumes is, there is no large bank that is able to influence this market on the bigger picture. Take BoJ interventions for example. They have been intervening in FX market to keep Yen week since it was at 116 neck line of the h&s pattern last year. No matter what level did they try to protect: 116, 112, 110, 108, 105 - all those levels were broken by the market. This market is by far stronger than any bank, so no matter what the banks do, they cannot for sure "book in cash if they get hit in the futures".
Just think about it - even though national banks and institutions intervene to the market (through their CB network), they don't pursued profits as a goal and they still fail...then what can a CB seeking for profits do on this market...

I am not sure this is the answer to your question, so if you meant something else, please elaborate.

Rezo
 
Who is your fx broker rezo? I have accounts with oanda, commerce bank, and fxcm. And don't like any of them.
But I do like the fact that spot fx is hugely liquid. When you consider that the bank of Japan(as you mentioned) has spent a trillion or three this year alone trying to prop up the yen (and it has still fallen) then for sure us retail traders can be selling millions at a time and not moving the market .
Thus if you can be consistently profitable the sky is the limit.
 
Quote from rezo_s:

This market is by far stronger than any bank, so no matter what the banks do, they cannot for sure "book in cash if they get hit in the futures".
I am not sure this is the answer to your question, so if you meant something else, please elaborate.
More...

Rezo,
This is not exactly the answer to my question but interesting and useful information nonetheless. What I was specifically asking was the following: Do you think the arbs in the futures are banks who can see and know the "book" (current bid/offer and depth of market) in the cash market. This is my guess. They post some good size bids and offers in the futures markets (200 - 300 contracts) about 2 or 3 ticks off the market. Because the futures are rather illiquid for that kind of size, I figured it was the cash arbs who knew if there order got filled in the futures they could immediately execute against the cash based on their knowledge of where the cash is and how much is bid/offered for in the cash.
If I am unclear here, just PM me and I will try and elaborate further.
Thanks,
Trevor
 
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