Forex VOLUME data

Discussion in 'Data Sets and Feeds' started by saschabr, Sep 9, 2003.

  1. Of course forex (tick or daily) volume data is generally not
    available due to the decentralized market structure.

    However, these days, much of the interbank (!) volume
    is traded via some platforms, like Reuters.

    My question is, does anyone know of any data provider
    which publishes not only bid & ask quotes, but also
    last transaction and transaction size data.

    If so, do you have any details ?

    Regards
     
  2. I dont know about any of those features but a really cool one that GFT just came out with is showing other customers orders. Kind of like a modified level 2. You can actually buy or sell sometimes with under a 4 pip spread....or so they say!
     
  3. Yes. But I refer to the interbank market, where the volume is done. Maybe there is a vendor, or Reuters FX publishes
    something, I don't know.
     
  4. rezo_s

    rezo_s

    No, there is no sourse you can get actuall interbank market.
    See here - http://www.moneytec.com/forums/_showthread/_threadid-3494/_s-
    its not the original thread topic, but we get to that in the end. I think we even had here that very topic on volumes, no?
    I will just quote my post there about volumes for viewers to be easier:
    -----------------------------------------
    Regarding the volumes, I have been looking around my archives and found somrthing on it - this is something I saved last year. This is a bit of help. I dont know exactly what is EBS's area, but its still possible (90 bill) i mean. The reason may be simple - they are only in spot market field. I dont know whats their field exactly. And the fact that global currency market is devided (I've been posting this indoemation on devision of market in some other post, but I will repeat)
    to :
    - spot
    - forward
    - swap
    - other oparations
    The data we have right now is not upto date. And when someone is pointing out 1.5 trill, the data may be only of october 2001, as thats the latest press release out there. This data (and other statistics on currency and financial direvatives markets) is released by national central banks once in every 3 years. The coordination is made BIS, which is empowered by G10. Last release of 2001 was based on data provided by 48 central banks and monitory authorities.
    According to that vary release, volumes on forex market were increasing till 1998 (thats where we had 1.5 figure) and in 2001 - reduced. The fall in volumes occured after the asian crysis. And the main sector of market where the fall occured was the spot market - take a look 570 bil in 1998, and fell to 390 bill in latest report. So the latest tendency back than was - volumes on spot reducing.
    I think this is some lite on what we're talking about. In case EBS is at spot market mainly - in that case they have more than 23%of the spot market share(and maybe more - in case volumes reduced more since 2001; 23% is according to latest 390bil figure). And lets not forget reuters, fxall, central banks, and other unions...so 90 bil in that case seems reasonable. But in case EBS is not mainly on spot - it still doesnt make scence. I'm attuching the main topic we're interested in - volumes table (see the att)

    I've just visited there site, and found that thay have just released (july 3 rd) the commentary on that very release of 2001.
    Here's the link
    Another commentary was earlier on it on 18 March 2002 :
    http://www.bis.org/press/p020318.htm
    The report itself is here: http://www.bis.org/press/p020318.htm
    Full publication of final results is also there ( in .pdf format - 52 pages).
    The report of 2001 itself is here:
    http://www.bis.org/press/p011009.pdf
    Lot to read. I read the report back than, and there's nothing much new final results.
    Enjoy :D.
    ------------------------------------------------------

    and I will add little something as well - as you mentioned here, its decentralized market, and there are several interbank participant ayaliies and they have different platforms using to trade amongst them. Rest thousands smaller banks/institutions are trading via those big players. So because there is no one platform/market (there is EBS, fxall and more...) - there is no one data about overall volume. Plus there are swap, forwards...so I think as such data its not available - its not [possible...
    Maybe I'm wrong, as I am not interbank participants, but in discussion participated people familiar with interbank market.
    I remember also reading once about weekly volume announcements, but I didn't find that article and ...lost the source...so maybe there is something.

    Regards,
     
  5. rezo_s

    rezo_s

    I just noticed the attachment is not there...
    so here's the table of volumes from last release.
     
    • bis.jpg
      File size:
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  6. I think it is around $1.5 trillions every day.


     
  7. thanks rezo for your insights.
     
  8. rezo_s

    rezo_s

    My pleasure, saschabr.