Euronext FX, an Electronic Communication Network (ECN) for foreign exchange and precious metals trading powered by FastMatch® technology, has recently launched a new market data product, the Euronext FX Dashboard. David Lyons, Euronext FX’s COO, shares an overview of the latest product offering.
What is the Euronext FX Dashboard and what are its unique selling points?
The Euronext FX Dashboard promotes increased market transparency for all market participants. We offer close to real-time information on market conditions including Euronext FX ECN price movement, executed CLS volumes, and metrics from the Euronext FX ECN reflecting volatility.
As the FX market continues to evolve electronically, the changing landscape brings with it many challenges, including updated operational policies:
- The FX Global Code has set out global principles of good practice in the FX market;
- Regulators are mandating Best Execution for clients;
- Industry working groups and standards boards are publishing best practice and standards recommendations relating to trading practices, disclosure and execution, which market participants are expected to follow.
These factors all have a direct impact on clients when determining market conditions, understanding market liquidity and making logical execution decisions based on these elements. The Euronext FX Dashboard is designed to address this.
The product has been delivered in collaboration with CLS, can you explain the background to this approach?
The collaboration with CLS is a very exciting aspect to this product. CLS has a unique position at the centre of the FX market and provides an unrivalled global settlement infrastructure, CLSSettlement, to the market. CLSSettlement settles between $500bn and $600bn daily in spot and outright forwards alone. By combining intraday CLS settled volume data with data extracted from the Euronext FX ECN, we are able to deliver meaningful near real-time information to our clients with CLS executed volumes subject to a 15-minute time lag, and refreshed every 5 minutes.
What form does the data available from the Euronext FX Dashboard come in?
On our data visualisation tool, intraday candle charts (O,H,L,C) act as a reference point for up to 30 supported CLS settled currency pairs. For each currency pair we offer clients the ability to ‘temperature check’ the market in near real-time. We provide information on average realised spreads from the ECN, average quote rates per second from the ECN, executed CLS volumes and numbers of executed CLS trades. Data frequency alternatives of 5-minute or 60-minute intervals provide clients with a choice of granularity. This insight into intraday market activity is quite unique.
Market participants faced with decisions on execution have many aspects to consider when seeking to achieve Best Execution for their clients: liquidity conditions, volatility, cost of execution, and more.
The Euronext FX Dashboard enables access to near real-time information on market volumes and market volatility, and in combination these can help support the decision-making process on execution style. On occasions, minimal volumes can have a big impact on the market and sometimes significant volumes have no impact. Liquidity assessment includes taking into consideration both market depth and market activity. As an example, market conditions where less aggressive algorithms, designed to minimise execution costs and market impact, are appropriate, can differ greatly from circumstances when it may be more prudent to transfer risk using full amount liquidity or a more aggressive algorithm.
The Dashboard provides insight into near real-time conditions and the data we provide can assist in the decision-making process before execution takes place, and also act as a useful audit trail to help support those decisions once taken.
We offer clients a choice of currency pairs, choice of data frequency, updates and choice of delivery mechanism.
Is it fair to say that the Dashboard acts as a real-time TCA reference?
Yes, it is, and in this sense it is unique. There are many excellent products in the market that allow clients to closely measure cost of trading and market impact – historically. The Liquidity Management team at Euronext FX uses our internally developed technology to do just that. Our global team of LM experts work closely with our clients to build unique, bespoke liquidity pools for this purpose, using many of these post-trade TCA metrics. The Dashboard differs in that clients have the ability to track near real-time market conditions pre-trade. We see this as an additive product rather than a replacement to existing post-trade TCA tools.
Are there any ways in which the combined Euronext FX and CLSMarketData deliver additional market colour?
Indeed. Working very closely with our Euronext FX Data Scientists team, we have developed a proprietary algorithm that offers insight into potential forward-looking market movement. Based on observations of historical behaviour, the potential market movement is non-directional but it can be used as a forward-looking volatility metric. The Dashboard makes a 60-minute forward-looking assessment every 5 minutes using multiple data points, all available via API.
It sounds like the Dashboard offers dual visibility – both a historical view and an indication of potential future short-term market movement?
Absolutely, and this has been designed to help support clients when navigating the many risk factors that must be considered when making important decisions around their execution strategy. The increased transparency the Euronext FX Dashboard offers allows users to assess market risk and consider potential market impact pre-trade to help drive down execution costs.
How can clients access the Euronext FX Dashboard?
Clients can access it via our website euronextfx.com, or via FIX API. Our Sales team at Sales_FX@euronext.com will be more than happy to provide additional detail.