As the largest single source of FX executed data available to the market, our datasets include data based on over 3 billion trades executed since 2011. We leverage the power of this information to help market participants understand market dynamics and improve decision making.
Average daily volume by source March 2024
* LSEG FX Trading Venues March 2024 ** Deutsche Börse 360T Trading Volumes March 2024.
average daily traded volume
major currency pairs
of the most actively traded currencies globally1
1Australian dollar, Canadian dollar, Danish krone, euro, Hong Kong dollar, Hungarian forint, Israeli shekel, Japanese yen, Korean won, Mexican peso, New Zealand dollar, Norwegian krone, Singapore dollar, South African rand, Swedish krona, Swiss franc, UK pound sterling and US dollar.
Quality, executed trade volume data to enhance your trading models, support post-trade analysis and reporting and strengthen investment and research analysis.
Data highlight
FX Volume provides intraday hourly or daily executed FX spot trade volume data in 40 currency pairs. Trade volumes are aggregated by currency pairs, region, trade size, number of trades and total value in USD equivalent.
Executed FX outright swaps and forwards volume data with detailed tenors and tranches can be delivered hourly and end-of-day to help meet your requirements.
Benefits
Volume and time-weighted executed trade spot pricing data provides a comprehensive view of market activity to help improve your analysis of pricing trends, measure the quality of your business decisions and enhance data-driven trading algorithms.
Data highlight
Price data values are created using market standard VWAP/TWAP conventions and broken down by five-minute intervals, updated hourly and daily
Benefits
Foreign Exchange Volume by Giovanni Cespa, Antonio Gargano, Steven Riddiough and Lucio Sarno, 2022, Review of Financial Studies
FX flow data helps inform your directional trading strategy by enabling you to track the flow and volume of market participants to detect and/or generate trading signals.
Data highlight
Provides data illustrating aggregate flow between certain counterparty types: market makers and price takers; non-bank financial institutions and banks; funds and banks; and corporates and banks. The data includes built-in parameters to capture volume purchased and sold, as well as number of trades executed across the market. Data is predominantly updated daily and aggregated in hourly intervals but is also available in a dynamic delivery window every ten minutes.*
Benefits
* The average delivery can be between 15-30 mins and slightly longer delays can occur.
** The data used in the above chart is for illustrative purposes only.
FX outstanding data offers insights into forward-looking net positions by capturing outstanding forward and swap trades across market participants to provide insights into market dynamics.
Data highlight
This end-of-day report provides daily insights into outstanding forward and swaps positions across the FX market. Offering further transparency across short and long term tenors by market participant type including corporate, fund, non-bank financial institutions and bank segments.
Benefits
CLSMarketData products (Earliest available) |
Daily Daily |
Hourly Daily |
5-Minute Daily |
Hourly Hourly |
5-Minute Hourly |
Dynamic 5-Minute |
FX Spot Volume | 31 Oct 2011 | 31 Oct 2011 | 31 Oct 2011 | 03 Jul 2017 | 27 Feb 2019 | - |
FX Forward Swap Volume |
31 Oct 2011 | 31 Oct 2011 | - | 30 Sep 2021 | - | - |
FX Spot Flow | 03 Sep 2012 | 03 Sep 2012 | 03 Sep 2012 | 27 Oct 2017 | - | 10 Jul 2022 |
FX Forward Swap Flow |
03 Sep 2012 | 03 Sep 2012 | - | 30 Sep 2021 | - | - |
FX Spot Pricing | - | - | 01 Sep 2015 | - | 22 Aug 2017 | - |
FX Forward Swap Outstanding |
03 Sep 2012 | - | - | - | - | - |
The underlying data is adjusted to follow the reporting convention used by the Bank for International Settlements (BIS) and the local semi-annual foreign exchange committee market reports. These surveys only report the bought currency values, or one leg of the trade, to avoid double counting the total amount of trades.
CLSMarketData is available via a REST API or downloadable in .csv format from the CLS Direct portal.