Alternative FX Data – FX data comes of age

10 min read

Johnstone joined CLS in September 2019 and her ambitious plans include leveraging CLS’s unparalleled coverage of currency market volume data, which can be used for developing investment strategies, monitoring best execution/transaction cost, enhancing risk management, and fine-tuning algorithmic trading.

“CLS shares a similar profile to a stock exchange for various aspects of its operations, including rigorous data governance and risk management,” says Johnstone, whose previous role was Head of Buy Side Sales at Euronext.

“A key difference is that CLS is not a trading venue, therefore, we don’t provide tick-by-tick trading data. Our data is derived from settlement data, which means that the design of datasets needs to be different. Our goal is to provide market participants with greater transparency of the FX market combined with comprehensive data analytics.”

“We are not just forecasting based on history. We use more holistic approaches to identify pre-trade signals and how they correlate with CLS trading data.”

The FX market presents special data challenges. It is distinguished from other financial markets by its huge size – $6.6trn per day in April 2019 according to the latest triennial BIS Survey. Currencies still have far more over-the-counter (OTC) trading than other assets, with 30% of FX trades resulting from voice tradin…

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