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Real spot FX volume from CLS via quandl
Started:October 11th, 2016 (05:02 PM) by puma Views / Replies:153 / 3
Last Reply:October 16th, 2016 (05:20 AM) Attachments:0

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Real spot FX volume from CLS via quandl

Old October 11th, 2016, 05:02 PM   #1 (permalink)
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Real spot FX volume from CLS via quandl

https://blog.quandl.com/global-foreign-exchange-fx-volume-database

- for USD500 per month

- 1h snap shots

---
I always suspected that some had access to this CLS clearing volume - now we have it retail.

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Old October 11th, 2016, 05:02 PM   #2 (permalink)
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Old October 15th, 2016, 09:07 AM   #3 (permalink)
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Interesting stuff, unfortunate that the snapshot granularity is 1h as it makes it less useful for immediate analysis. I wonder if the consortium members are getting finer framed data. Probably a nice competitive advantage when trading against other big FX players.

Would be good to see what kind of correlation the data has to say futures volumes, sounds like it would be v helpful for investors and longer term traders.

Nice post!

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Old October 16th, 2016, 05:20 AM   #4 (permalink)
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sands View Post
Interesting stuff, unfortunate that the snapshot granularity is 1h as it makes it less useful for immediate analysis. I wonder if the consortium members are getting finer framed data. Probably a nice competitive advantage when trading against other big FX players.

Would be good to see what kind of correlation the data has to say futures volumes, sounds like it would be v helpful for investors and longer term traders.

Nice post!

Yes a comparison to futures volume would be interesting.
Somebody will do it. Maybe an academic paper is released soon that looks into it.

Free sample data is available on quandl - I had no time to test it myself.

Otherwise,
they have the clearing volume realtime "inside" CLS - this seems save to assume by definition of their service.
If they shared that data before officially I dont know.

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