This is a generic question about the quotations of assets but for the sake of reducing ambiguity, let's consider the EUR/USD exchange rate. If the answer varies for other asset classes, please note the differences.
While references to how the initial exchange rate is set will be appreciated, the question is specific to the constant fluctuations produced by any bank. The closest answer I have found, states:
The bank just facilitates transactions. If the last price (exchange rate) is 1.2 Dollars per Euro, and the bank gets more requests to buy USD for Euros than Euros for USD, it adjusts the rate downwards until the buying pressure is even. If the USD gets more expensive, at some point fewer people will want to buy it (or want to buy products from the US that cost USD). The bank maintains a spread (like buy for 1.19 and sell for 1.21) so it can take a profit.
What is the series of technical events that produce these fluctuations, in as much granularity as possible? An example for 2-3 ticks should suffice.
Further, how is it related to the COT data, if at all? How is COT data determined?