Volumes traded in the Euro? | Forex Factory

Options

Go to
Permalinks
Print Thread

Similar Threads

Where is Euro traded? And what is its timezone? 9 replies

Who has traded since before the time of euro? 5 replies

What are the most commonly traded currencies in the Forex markets? 0 replies

Anybody traded NZD current account today? 13 replies

Top Most Traded 3 replies

Volumes traded in the Euro?

  • #1
  • First Post: Sep 30, 2010 5:32pm Sep 30, 2010 5:32pm
Could one scalp the eurusd with say 1000 standard contracts without thinning out liquidity within a one minute time frame. In other words what is the max number of contracts one could trade before you start influencing the market. Should one have multiple ECN accounts? Please advise
  • #2
  • Sep 30, 2010 7:52pm Sep 30, 2010 7:52pm
Quoting StephanusR
Could one scalp the eurusd with say 1000 standard contracts without thinning out liquidity within a one minute time frame. In other words what is the max number of contracts one could trade before you start influencing the market. Should one have multiple ECN accounts? Please advise
According to Oanda, with 1000 lots you will move the whole market by 10 pips:

Currency markets have a daily turnover of spot transactions of approximately 1.4 trillion USD; this is a mind-boggling number, equivalent to approximately 10 percent of the annual US GNP. The daily turnover translates into a flow per minute of 1 billion USD, which is still a lot of money. If we go a step further and compute the volume per second, then the turnover collapses to only 16 Mio per second, which equates to 8 Mio buying and another 8 Mio of selling volume for all exchange rates together.

On a second by second basis, the volume is a mere trickle; this is a huge contrast to the mind-blowing number for a full 24 hour trading day. For the
individual exchange rates, the second by second volume numbers are a lot smaller: for EURUSD with the biggest turnover, the volume per second is 3.5 Mio USD and, for a minor exchange rate, such as USDCAD, only a trifle of 250′000 USD per second.

Compared to the trillions that are traded every day, it is thus paradoxical that already small market orders can move the market. For minor currencies,
50 Mio is enough to move the exchange rate by 0.2 percent. For the major currencies such as EURUSD, the necessary amount is roughly 100 to 200 Mio depending on the time of day; these numbers are peanuts in the bigger picture. To move the EURUSD by 0.2 percent, a trade of 200 Mio USD needs to be made, which requires as little as 5 Mio USD in terms of equity. It is astounding that an economy with a GDP of 14 trillion can have its exchange rate moved by 0.2% due to the actions of a trader with 5 Mio USD of equity.
  • #3
  • Oct 1, 2010 12:43am Oct 1, 2010 12:43am
Quoting Adal
According to Oanda, with 1000 lots you will move the whole market by 10 pips:

Currency markets have a daily turnover of spot transactions of approximately 1.4 trillion USD; this is a mind-boggling number, equivalent to approximately...
Thanks for your detailed reply. The actual volumes of the market could increase as more sellers respond to larger bids. It also means that there is a potentially huge liquidity constraint on a method. I myself am trading a method that made me 20% return on equity this week alone and the method works. Thus as I scale there will come a point where it won't work for scalping or 10pip profit taking above a certain amount of lots, which seems to be then around 200 standard lots. As in buy, wait 5min and then sell .
  • #4
  • Oct 1, 2010 1:17am Oct 1, 2010 1:17am
Quoting StephanusR
Thanks for your detailed reply. The actual volumes of the market could increase as more sellers respond to larger bids. It also means that there is a potentially huge liquidity constraint on a method. I myself am trading a method that made me 20% return on equity this week alone and the method works. Thus as I scale there will come a point where it won't work for scalping or 10pip profit taking above a certain amount of lots, which seems to be then around 200 standard lots. As in buy, wait 5min and then sell .
You have to remember also that a standard contract in interbank terms is 1 Million. Oanda will guarantee up to 5 million (the last time I checked) per trade. So Adal is right on. You have to remember also what the volumes in the interbank mean, and what the purpose of the interbank is. There is no time and sales in the world of FX, so information is gathered by banks trading with each other constantly. The interbank works much like an individual banks book. When a dealer at a bank is trading with a commercial firm (corporates), he will ussually fill the order on his book, and trade that inventory out in the interbank to divulge his inventory. If he trades with a hedge fund though, he will often let that order go straight to the book i.e. the interbank, but not before he front runs it. Basically, the interbank is there to redistribute inventory between banks so that everybody can make their spreads in thier respective houses of business.

So..In a nutshell, the larger your orders become, the more market impact they will have. Before you get to the interbank, you'll be trading with a bank as your counterparty--we all do it every day as retail guys. The very fact that you're trading with a bank puts you at a disadvantage, because they are the ones that 'handle' your orders. They are the true scalpers (market makers), unless you are one of them, you're at a major disadvantage. That or unless you run a large orginization (hedge fund) where you can directly influence the market in your favor, it's all a crap shoot. This is why the idea of FA and TA at our level is a fallacy. For TA to really 'work,' you need to have some weight in the market. TA on our level is a game of probabilities i.e. how often does someone else make X happen.

Sorry, I don't know how much I actually answered your question, but I felt that you needed to widen your scope a bit.

Jim
  • #5
  • Oct 1, 2010 1:34am Oct 1, 2010 1:34am
That depends at wich time you trade. There as some times in the Asian session when you can move the market by trading 1000 lots. When you throw that order in at that time it could move the market by a couple of pips. When you are trading at the opening of the london session or New York session or when big news comes out your order will be taking without moving the market. What I use is the platform of dukasckopy and the have swissfx. Thats a platform they use to combine the most liquidity as possible also displaying volumes on other platforms like EBS. When I watch the orderbook they display I regularly see orders as big as 200 lots without moving the market by more then 0.8 pips. Maybe you can watch the orders come in at that platform en decide at wich time itīs best to put up an order that big
  • #6
  • Oct 1, 2010 2:47am Oct 1, 2010 2:47am
Quoting swingtraderf
When I watch the orderbook they display I regularly see orders as big as 200 lots without moving the market by more then 0.8 pips.
Limit orders don't move the market, bud. They can influence the market, but they in themselves move nothing, they just sit there. When you see the market move those small ticks, it's simple transitory volatility happening because of small market orders at the bid/ask.
  • #7
  • Oct 1, 2010 4:06am Oct 1, 2010 4:06am
An anecdotal bit of info - a friend of mine who worked for FXCM as a marketmaker tells me that on occasion orders for 500 lots ($50 million) came through and, as long as it was during a period of high liquidity, would not move price more than 1-2 pips.
  • #8
  • Oct 1, 2010 5:44am Oct 1, 2010 5:44am
Quoting Mindsphere
An anecdotal bit of info - a friend of mine who worked for FXCM as a marketmaker tells me that on occasion orders for 500 lots ($50 million) came through and, as long as it was during a period of high liquidity, would not move price more than 1-2 pips.
Whoever is trading 50 Yards via a bucket shop is a complete moron. The only way I could see this as a remote possibility is when FXCM is sending a large aggregate order to the interbank to hedge their own book, and in doing so they don't move the bank market but two pips, especially if the orders have no correlation to what the big guys are doing.

Here is the July CFTC report. FXCM is on the list, they are not that big in the first place. FXCM's net adjusted capital was 68 Million as of July 31. Oanda's was 167M, for contrast. Here is a link to the report:

http://www.cftc.gov/ucm/groups/publi...cmdata0710.pdf

For an individual to be trading a 50M order, he/she would have to have at least 1M in thier account assuming 50:1 leverage. When you have that kind of money to take to the game, you don't play patty cake with fxcm, or any other retail bucket shop.
  • #9
  • Oct 1, 2010 10:59am Oct 1, 2010 10:59am
Quoting Scotty B
Whoever is trading 50 Yards via a bucket shop is a complete moron. The only way I could see this as a remote possibility is when FXCM is sending a large aggregate order to the interbank to hedge their own book, and in doing so they don't move the bank market but two pips, especially if the orders have no correlation to what the big guys are doing.

Here is the July CFTC report. FXCM is on the list, they are not that big in the first place. FXCM's net adjusted capital was 68 Million as of July 31. Oanda's was 167M, for contrast. Here is a link...
Hi Scotty,

If you want to see how much liquidity as a comparison to market depth, take a look at the Active Trader platform. It will give you an idea based upon what the liquidity providers are offering with No Dealing Desk execution.

FXCM is a global company regulated in multiple jurisdictions, therefore there can also be capital requirements in multiple jurisdictions. You can find a total capital figure by looking at the balance sheet released through our website http://www.fxcm.com/company-profile.jsp

-Jason
  • #10
  • Oct 1, 2010 12:32pm Oct 1, 2010 12:32pm
Quoting Adal
According to Oanda, with 1000 lots you will move the whole market by 10 pips:

Currency markets have a daily turnover of spot transactions of approximately 1.4 trillion USD; this is a mind-boggling number, equivalent to approximately...
I heard of a daily turnover of 4 billions USD/day.

http://www.bis.org/publ/rpfx10.htm

Quote
It is astounding that an economy with a GDP of 14 trillion can have its exchange rate moved by 0.2% due to the actions of a trader with 5 Mio USD of equity.
Cool figures, but the example you made simply explains intraday volatility.
  • #11
  • Oct 1, 2010 12:49pm Oct 1, 2010 12:49pm
Quoting Capital Gain
I heard of a daily turnover of 4 billions USD/day.

http://www.bis.org/publ/rpfx10.htm


Cool figures, but the example you made simply explains intraday volatility.
The figure I quoted was spot only.

From Wikipedia, although I'm sure this info is also in the link you posted:

According to the Bank for International Settlements,[3] average daily turnover in global foreign exchange markets is estimated at $3.98 trillion, as of April 2010 a growth of approximately 20% over the $3.21 trillion daily volume as of April 2007.

The $3.21 trillion break-down is as follows:

 

  1. $1.005 trillion in spot transactions
  2. $362 billion in outright forwards
  3. $1.714 trillion in foreign exchange swaps
  4. $129 billion estimated gaps in reporting

  • #12
  • Oct 1, 2010 12:51pm Oct 1, 2010 12:51pm
Quoting Adal
The figure I quoted was spot only.

From Wikipedia, although I'm sure this info is also in the link you posted:

According to the Bank for International Settlements,[3]...
Right.
  • #13
  • Oct 1, 2010 12:58pm Oct 1, 2010 12:58pm
Quoting Scotty B
Limit orders don't move the market, bud. They can influence the market, but they in themselves move nothing, they just sit there. When you see the market move those small ticks, it's simple transitory volatility happening because of small market orders at the bid/ask.
I don't mean move the market in a certain direction or by a ten pips or more. I my understanding if there is a 500 million short limit order at 1.2780 and the will sell from that level untill the order is filled it can move the market. When a trader wants to sell 500 million at 1.2780 and from that level until 1.2770 there are only 500 million worth of orders on the opposite side won't the market move 10 pips down.

Please correct me if my understanding of this concept is wrong.
  • #14
  • Oct 1, 2010 1:53pm Oct 1, 2010 1:53pm
Quoting swingtraderf
I don't mean move the market in a certain direction or by a ten pips or more. I my understanding if there is a 500 million short limit order at 1.2780 and the will sell from that level untill the order is filled it can move the market. When a trader wants to sell 500 million at 1.2780 and from that level until 1.2770 there are only 500 million worth of orders on the opposite side won't the market move 10 pips down.

Please correct me if my understanding of this concept is wrong.
A 500 million sell limit order at 1.2780 won't move price anywhere, it will just stop price from going higher than 1.2780 until it's consumed or otherwise removed. It doesn't get filled from the bid, it doesn't consume liquidity, it waits to be consumed - so it in itself cannot push price down, and obviously it won't push price up.
  • #15
  • Oct 1, 2010 2:00pm Oct 1, 2010 2:00pm
Quoting swingtraderf
I don't mean move the market in a certain direction or by a ten pips or more. I my understanding if there is a 500 million short limit order at 1.2780 and the will sell from that level untill the order is filled it can move the market. When a trader wants to sell 500 million at 1.2780 and from that level until 1.2770 there are only 500 million worth of orders on the opposite side won't the market move 10 pips down.

Please correct me if my understanding of this concept is wrong.
Nobody who has 500 mil to sell will put it all in one order, so this example is pointless. Sums like that are executed through algorithms.

Again, from wikipedia:

Transaction cost reduction

Most strategies referred to as Algorithmic Trading (as well as algorithmic liquidity seeking) fall into the cost-reduction category. Large orders are broken down into several smaller orders and entered into the market over time. This basic strategy is called "iceberging". The success of this strategy may be measured by the average purchase price against the VWAP for the market over that time period. One algorithm designed to find hidden orders or icebergs is called "Stealth". Most of these strategies were first documented in 'Optimal Trading Strategies' by Robert Kissell[13].
  • #16
  • Oct 2, 2010 2:18am Oct 2, 2010 2:18am
Quoting Adal
Nobody who has 500 mil to sell will put it all in one order, so this example is pointless. Sums like that are executed through algorithms.

Again, from wikipedia:

Transaction cost reduction

Most strategies referred to as Algorithmic Trading (as well as algorithmic liquidity seeking) fall into the cost-reduction category. Large orders are broken down into several smaller orders and entered into the market over time. This basic strategy is called "iceberging". The success of this strategy may be measured by the average purchase price...
Nice post, Adal, as always. FX is the perfect market for algos. A program could keep populating what looks like small order sizes in the que, but because there is no tape, it takes a while for those consuming that liquidity to know they are in trouble. This is another reason i look to futures. I know several guys who have built programs that identify program traders by looking at trades/time. It's that simple. The more volume packed into less time, the greater the chances it's one well informed trader.
  • #17
  • Oct 3, 2010 7:25am Oct 3, 2010 7:25am
Quoting Jason Rogers
Hi Scotty,

If you want to see how much liquidity as a comparison to market depth, take a look at the Active Trader platform....
In your view then, do think one would be able to snipe the market for TP of 10pips with lets say 1000 standard lots without upsetting the apple cart?


http://www.forexfactory.com/showthre...61#post3956861

"...Just thought i'd share something here, if you guys dont already know
this... well the EUR during london sessions are heavily dominated by
bond flows from respective countries and EURIBOR fixings.. as of late,
market seems to have renewed appetite for this high yielding papers..
especially from portugal, greece, spain, ireland etc... Bid to Cover
has been impressive and therefor the EUR usually catches a bid..
during these auctions. EURIBOR is one to watch for.. as interbank
rates are creeping sheepishly higher than the overnight rate imposed
by the ECB.. thus far.. these have been the major drivers during the
london session.. so be nimble and dance well...."

In other words not everybody who buys $100mil of euro's wants to sell it 10min later for a 10 pip profit. A hedge fund form the USA buying Dax futures buys 100mil euro un-leveraged and don't really care whether the market moves 30 pips or not.

We need to determine who are the speculators(like us) buying euro to sell for 10pips TP, their position sizes and time of activity. I believe the retail market is around $120 billion and thus won't have much of an effect on a $1tril market because not all of that money will be leveraged into the market. Furthermore many will go short and others long thinking their trades are hedged but actually they are trading on an excel spreadsheet , the broker absorbs those traders making a profit not hedging anything , knowing that over a two year period every single client will be broke. After this two years a new round of naive investors play a game of euro blackjack.
  • #18
  • Oct 3, 2010 7:29am Oct 3, 2010 7:29am
Quoting StephanusR
We need to determine who are the speculators(like us) buying euro to sell for 10pips TP, their position sizes and time of activity. I believe the retail market is around $120 billion and thus won't have much of an effect on a $1tril market because not all of that money will be leveraged into the market. Furthermore many will go short and others long thinking their trades are hedged but actually they are trading on an excel spreadsheet , the broker absorbs those traders making a profit not hedging anything , knowing that over a two year period every...
Thus open an account with 100 bucket shops and trade 1 standard contract on each, the trades aren't even hedged in anycase, the bucket shop will absorb the profit, no actual 100 standard lots ever were traded with a bank.
  • #19
  • Oct 3, 2010 8:53am Oct 3, 2010 8:53am
Quoting StephanusR
In your view then, do think one would be able to snipe the market for TP of 10pips with lets say 1000 standard lots without upsetting the apple cart?...
Your analysis is quite simplistic. 80% of Oanda traders are now long USD/JPY at this moment. The same for FXCM (SSI) and Dukascopy (SWFX Liq Index) - 66%. Are you implying that all these three brokers are now naked short against USD/JPY (since by your words they don't hedge in the interbank)?

http://fxlabs.oanda.com/products/his..._pr_merged.png

https://media.dailyfx.com/illustrati..._Picture_3.png

http://www.dukascopy.com/freeApplets/sentiment/?type=1
  • #20
  • Oct 4, 2010 2:03am Oct 4, 2010 2:03am
Quoting Adal
Your analysis is quite simplistic. 80% of Oanda traders are now long USD/JPY at this moment. The same for FXCM (SSI) and Dukascopy (SWFX Liq Index) - 66%. Are you implying that all these three brokers are now naked short against USD/JPY (since by your words they don't hedge in the interbank)?

http://fxlabs.oanda.com/products/his..._pr_merged.png

https://media.dailyfx.com/illustrati..._Picture_3.png

http://www.dukascopy.com/freeApplets/sentiment/?type=1...
Dukascopy has a banking license and is an ECN, they aren't a bucketshop. They don't trade against their clients but take commission.
0 traders viewing now