CLSMarketData

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

Clsmarketdata Largest Single Sourcefx Feb2022

1.99+ USD trillion

average daily traded volume


40

major currency pairs


18

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.

Data quality recognition:

Mask Group 125

CLSMarketData can add value throughout the buy-side community

Clsdata Trade Strategy Buyside 01092021

CLSMarketData can add value throughout the sell-side community

Clsdata Sell Side 01092021

FX Volume

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

  • Improve your understanding of the changing nature of global currency markets and trading performance by researching historical trends.
  • Strengthen your liquidity strategies and support trend analysis over different tenors.
  • Enhance your trading models and strategies and support post-trade analysis and reporting by incorporating liquidity at each tenor.
  • Evaluate performance, achieve greater. insight into market dynamics and support your business and trading models by developing new forwards and swaps market analytics.
  • Reduce trading risk quickly and accurately by analyzing trends over time.
Clsmarketdata Volume

FX Pricing

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

  • Improve capital and operational efficiencies through daily pricing trend analysis.
  • Enhance your trading algorithms and minimize market impact.
  • Strengthen financial and risk control around valuations and mark-to-market assessments.
  • Drive a better outcome for best execution and transaction cost analysis.

“Volume helps predict next day currency returns and is economically valuable for currency investors.”

Foreign Exchange Volume by Giovanni Cespa, Antonio Gargano, Steven Riddiough and Lucio Sarno, 2022, Review of Financial Studies

FX Flow

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

  • Achieve an improved understanding of trading flows by calibrating your trading models more effectively and structure your positions according to likely increases in flow.
  • Manage your risk and liquidity through in-depth insight into market participant behaviors to incorporate liquidity at each tenor.
  • Improve accuracy of trading rules and strategies with enhanced transparency of the forward-looking net positions across various market participant segments.
FX Spot Flow Chart 260121

* 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

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

  • Enhance your visibility of market activity and trading flows across short- and long-term forward and swap tenors.
  • Augment volatility modelling of asset and derivative prices for greater market transparency
  • Improve accuracy of trading rules and strategies with enhanced transparency of the forward-looking net positions across various market participant segments.

“Our data history aids analysis to predict future events, supports market research and helps in understanding past evolution patterns.”

Data History

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 - - - - -

 

Methodology

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.

Accessing CLSMarketData

CLSMarketData is available via a REST API or downloadable in .csv format from the CLS Direct portal.