Is there a way to find out what the average liquidity is in the FX market at each price? I know there is know level 2 for FX but Im looking for a ballpark range. Like about 1 million per price.( using only 4 decimal places. 1.XXXX)
I doubt you can get this number, as there is no central exchange. Perhaps call the 10 largest dealers, what are you writing a term paper?
There is L2 information on ECNs. For Eur/Usd, a 10M 2-way quote is usually 1.1 to 1.4 pips wide on the better ECNs (Hotspot/Currenex). Obviously depends on the time of day. And obviously on the pair in question. Presumably EBS is deeper still (meaning smaller spread on bigger size). Although they are having problems recently, losing marketshare (traded volume -25% YoY).
No paper. Just wondering. If there is no central exchange then how do they get the current price? If there are 10 dealers and I buy 1 million euros at 1 of the dealers what happens next? Do the other dealers raise their quotes because I just bought 1 millions euros? Who did I buy the 1 million euros from? Someone had to sell it to me.
you can get a ballpark by substituting the futures, even if you are tradiing spot some also use the futures charts to get a ballpark volume
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I do this. It's really useful.. since there's a lot of players on the futures market that don't touch spot. You only have to keep in mind that the font month contract might not be exactly the spot price, although it will move nearly the same pip wise (depends on when the contract expires. The closer to expiry date the closer to the spot price it gets.)