Issues w/FX tick data - spot vs. futures

Discussion in 'Data Sets and Feeds' started by bluelou, Jun 5, 2009.

  1. bluelou


    The relationship b/t daily tick volume and daily volatility for FX futures appears to have broken down but this doesn't appear to be the case for FX spot. What's going on here? Has anyone else had to deal with this?

    I'm trying to figure out what has changed here. Are traders using FX ECNs also seeing exploding tick volume with decreasing volatility? Or, is there an increase in algo trading on the CME that isn't taking place at the FX ECNs?

    Here's a bit of background:
    My experience has been and the empirical research suggests that there is a direct relationship b/t tick count and volatility. For example, for GBPJPY, the correlation over a 4 year period b/t the number of ticks/day and daily vol (using realized range or ATR) is +0.83.

    I'm getting FX spot tick data from Gain Capital and FX futures tick data from IQFeed. I understand that the definition of "tick" is different here but what I'm seeing is actually exponential growth in CME FX tick volume while volatility is decreasing. This isn't occurring with the Gain data and this wasn't the case prior to 2009.

    Suggestions from anyone dealing with FX spot/futures tick data is definitely appreciated.

  2. bluelou


    I just spoke to someone in Market Data at the CME. He thought it might be the growth in algo trading on Globex. I'm not trading on an ECN. Are HotSpot users or other ECN users seeing tick volume really growing even with decreasing volatility?
  3. Bump.

    Interesting divergence bluelou, I can only imagine the increased tick count would be the HFT craze.