CLS is releasing an FX forward volume data set as part of its suite of executed trade data products.
This data focuses on outright forwards and swaps, providing an aggregated view of the forward market and therefore confirming pricing models for forwards and swaps. This is CLS’s first data product for the FX forward market as CLS’s existing data products currently only address the FX spot market.
This new data set covers 33 major currency pairs and CLS claims that it can assist users to develop new analytics and provide an opportunity to streamline their FX trading strategies.
Masami Johnstone, head of information services at CLS, says: “With access to more than 50% of global FX traded volumes in the market, CLS processes over 500,000 transactions daily worth $1.55 trillion. We are uniquely placed to provide FX forwards data providing deep tenor granularity with precise forward and broken dates to market participants.”
She adds: “The fragmented nature of the FX market means there is a lack of visibility of the total volume across all venues. This data set will enable the industry to better understand market dynamics based on aggregated volume data, particularly, to confirm pricing models, develop analytics for performance evaluation and further support trading models for the forward market.”