FX Pricing

Volume and time-weighted executed trade spot FX pricing data provides a comprehensive view of market activity to help improve your analysis of FX pricing trends.

Our FX pricing spot data is created using market standard VWAP/TWAP conventions and broken down by five-minute intervals and updated hourly, helping you to measure the quality of your business decisions and enhance data-driven trading algorithms.  

FX Pricing improves:

  • Trading algorithms
  • Transaction cost analysis
  • Best execution
  • Trading strategies
  • Financial risk management

FX Pricing reduces:

  • FX trading costs
  • Market risk – price verification

Understanding FX Pricing with VWAP and TWAP

Leveraging VWAP (Volume-Weighted Average Price) and TWAP (Time-Weighted Average Price) derived from over 100,000 transactions per month is crucial for effective benchmarking and improving volatility modelling for clearer price insights.

By utilizing VWAP and TWAP pricing data, traders and quantitative analysts can assess market trends, direction and liquidity, helping to mitigate risks associated with price volatility and make decisions based on current market conditions.

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CLS Award Data FX Markets Asia 2020

Largest single source of FX executed data

Our datasets include data based on over 3 billion trades executed since 2011.

CLSMarketData – largest single source of FX executed data.

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