Global Spot FX Coverage: Trade Size Report, Q1 2018

Everyday areas of foreign exchange (FX) workflow such as price discovery, risk management, and algorithmic trading performance stand to gain from a deeper understanding of average trade size trends in spot FX. 

This paper examines CLS, central bank, and Bank for International Settlements data to illustrate how average trade size in the over-the-counter (OTC) spot FX market varies longitudinally, by time of day, by FX pair, and by factors such as counterparty type and use of prime brokers. 

Sample questions answered in this study: 

• Is there such a thing as a “normal” spot FX trade size? 
• What is the average trade size for major currency pairs at different times of the day?
• To what extent does trade frequency impact average trade size? 
• How can algo trade performance improve with a more granular view of average trade size?  

METHODOLOGY

 Forex Datasource analyzed CLS market data from early 2018, which is representative of market conditions globally for spot FX and for the currency pairs included in the study at the time when the data was captured. The CLS data sample corresponds to a 24-hour trading activity period for January 8, 2018, including 342,142 gross spot FX trades, parsed by currency pair, base currency notional amounts, and time of day. The CLS reporting of volume and trade ticket underwent a methodology change in 2017 that brought it in line with that used by the Bank for International Settlements (BIS). To normalize the dataset, Forex Datasource converted trade notionals to US dollars. To delve into longitudinal trends, we drew additional insights from central bank semi-annual FX surveys and BIS triennial FX surveys since 2005. 

LIST OF CHARTS AND TABLES

Chart 1. Spot FX Share of All OTC FX Trades, Combined U.S. and U.K. activity 

Chart 2. CLS – Daily Spot FX Activity, 2006-Q1 2018 

Chart 3. Trade Size Comparison by FX Product, October 2017 

Chart 4. Spot FX Trade Size Over Time, 2010-2017

Chart 5. Prime Brokered Spot FX Volume, U.S. and U.K., 2010-2017

Chart 6. Prime Brokered FX Trades, U.S. and U.K., 2010-2017

Chart 7. Spot FX Trade Size by Select Counterparties, 2010-2017

Chart 8. CLS Intraday Data – Top-5 FX Pairs by Share of Spot FX Trades, January 2018

Chart 9. CLS Intraday Data – Top-5 FX Pairs by Share of Spot FX Trades, January 2018

Chart 10. Volume-Weighted Spot FX Average Trade Size, All CLS FX Pairs, January 2018

Chart 11. EUR/USD Average Trade Size Intraday, January 2018

Chart 12. USD/JPY Average Trade Size Intraday, January 2018

Chart 13. GBP/USD Average Trade Size Intraday, January 2018

Chart 14. AUD/USD Average Trade Size Intraday, January 2018

Chart 15. USD/CAD Average Trade Size Intraday, January 2018

Chart 16. NZD/USD Average Trade Size Intraday, January 2018

Chart 17. EUR/JPY Average Trade Size Intraday, January 2018

Chart 18. EUR/GBP Average Trade Size Intraday, January 2018