I need data for my thesis research on liquidity of foriegn exchange for order flow (aggregated daily) per currency traded for a period over the last 10-15 years. help!!
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$\begingroup$ possible duplicate of What data sources are available online? $\endgroup$– Bob Jansen ♦Feb 22, 2014 at 19:20
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$\begingroup$ I think the downvote might be a bit premature. The problem he is facing lies in getting the historical data for the last 10-15 years. I once tried getting some historical data from bloomberg. Turned out to be far more challanging than I thought $\endgroup$– ProbilitatorFeb 22, 2014 at 19:33
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1$\begingroup$ The foreign exchange market is decentralized. There's no one place you can go to get the total order flow. You could get order flow for foreign exchange futures though. $\endgroup$– Joshua UlrichFeb 24, 2014 at 13:07
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4 Answers
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As Joshua mentioned, spot fx is decentralized. Furthermore, brokers (broker dealers) are reluctant to share their order-flow, mainly because it would likely reveal they are running a partial/full b-book (aggregation or internalizing client trades). This has become a sensitive topic in retail trading circles due to the temptation of dealers to 'trade against you' or manipulate your trades, especially if they suspect you are an well-informed trader. Even with an A-book, the order flow is still variable across brokers (as aggregation can go through several liquidity providers before reaching its final destination).
The best place to get as close to real time statistics on [retail] fx order flow would be MyFxBook community outlook. They sample volume from all their real [verified] trading accounts that connect to them to track statistics.
More comprehensive surveys of daily volume from the institutional side: Reuters FX Spot Volumes and ICAP Monthly Volume Data
The most comprehensive place that keeps track of nearly all daily foreign exchange notional volumes on a regular basis are the Bank for International Settlements (BIS) Semi-annual and Triennial surveys. When you here a broker advertise "forex does 4+ trillion dollar a day in volume, BIS is where they get those stats from.
Other honorable mentions:
Integral FX TradeVault. A paid service, but integral is one of the larger aggregators in the industry.
LMAX Exchange. They do not publish their daily volumes yet to the general public, but being the first transparent 'exchange' for spot forex (no last look order book), it will be interesting to see the related statistics from their order flow as they become a larger player.
ForexMagnates . Many of the larger players and brokers from around the world do post their individual monthly volumes within a few days after the previous month closes.
FXCM Real Volume and Transactions indicators. FXCM is a large player in the retail world as well as institutional, and has a lot of combined order flow, although the indicator is supposed to only do retail order flow from fxcm customers only.
More and more brokers will begin posting their order flow as the industry encourages more transparency. Post Dodd-Frank/post LIBOR manipulation regulations encourages more institutions to do accurate trade reporting for OTC products, so real time or more frequent volume data is just the next logical step.
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CLS, the global payment-versus-payment FX settlement platform provides aggregated data through Quandl. CLS doesn't cover the entire market but settles about half of the global the FX turnover (for its membership across different trading platforms). The order flow data is provided for spot trades only.
Hope that helps. S
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Why don't you try
http://www.bankofengland.co.uk/markets/Pages/forex/fxjsc/default.aspx
http://www.ny.frb.org/markets/foreignex.html
http://www.aciforex.org/
but the thing about FX order flow is there are so many order types: prices/quotes, natural flow, hedging, to mention just a few.
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I get mine here https://www.fxhunterwealth.com/trading-app/ even though you might need a subscription if you need for longer, if you need it only for 14 days you can get a free trial :)
