Forex Liquidity

Hello friends,

I am trying to estimate liquidity/scalability for a FX trading startegy.

Two questions:

1. What would you estimate as the maximum size one could move in the ff pairs with minimal slippage?

2. What size would you estimate as the max size to be held as a position trade such that an emergency liquidation could occur with minimal adverse impact?

EURUSD
GBPUSD
USDCHF
UDSJPY
AUDUSD
USDCAD
EURJPY
EURGBP
EURCHF
GBPJPY

Many Thanks.

 

Both questions depend entirely on the venue on which you are trading. The answers are radically different if you're talking institutional (EBS, Reuters, etc) or retail (IB, Oanda, etc).

 

Good point, I'm sorry I forgot to specify.

Trading Venue: Institutional platforms: EBS/REUTERS, UBS, CREDIT SUISSE in house platforms, etc

Looking forward to your thoughts

 

I'm sorry I don't have experience with those venues to comment on their liquidity.

I've used a few Currenex hubs and am looking into HotSpot FXi at this moment. The displayed inside liquidity (+/- 3 pips) on the majors for those venues is typically 100-200M notional. I emphasize 'displayed' as the latter venue supports reserve orders similar to equity ECN platforms, where the hidden order size may be much larger than what is displayed.

I can only assume that EBS, Reuters, FXall, DB Autobahn, etc are even larger..

 

Thanks for sharing what you know.

 

I think this is an excellent question, and i would like to know the answer to this as well for retail brokers -- particularly for Interactive Brokers, for the EUR/USD cross.

 

EUR/USD isn't a cross.

 

This question can not easily be answered since it is way dependent on the given time you are trading. For instance, eurchf and eurgbp are going to be relatively illiquid in Asian trade but thick in Europe. USDCAD is very thin when traded outside of North American trading hours. Everything is going to go very wide during data releases. I can go on and on. There is just not a standard answer to your question.

 

Of course there is no standard answer....so let's assume the time is whatever time you expect liquidity to be at its peak.

Looking forward to your answers....

 

There is a fundamental reason for it. Do you know what it is?