THOUGHT LEADERSHIP
CME GROUP
Evidencing FX futures CLOB liquidity and replenishment rate
Representing over 98 % of global volume in EUR / USD futures , the FX futures central limit order book ( CLOB ) at CME Group has become a critical venue for FX risk management for bank eFX desks and buy-side firms alike . However , given that prices on the CLOB are firm ( with no last-look and zero rejects ), the size displayed on top of book ( ToB ) does not always give a complete picture of the availability of liquidity . Traders must also consider how quickly the order book replenishes to absorb large risk transfer . As evidenced below , by working orders over a 120-second window , traders are able to execute vastly higher notional trades in the CLOB than ToB sizes alone would suggest . Chart 2 shows the peak EUR / USD volume traded on the FX futures CLOB in a single second interval in 2023 . In a single second , $ 458M was executed ,
With average daily volume of ~$ 88B in 2024 , CME Group FX futures rival , and in many cases exceed , the largest OTC FX spot ECNs ( Chart 1 ). This was established in recent articles by the BIS and The TRADE .
rising close to $ 1B by 30 seconds and $ 1.5B by 120 seconds . The FX futures CLOB at CME Group is highly liquid with a hugely diverse ecosystem of traders . The order book displays resilience , replenishing liquidity swiftly to ensure continuous , smooth trade execution after initial spike in volumes . Although large size can be executed in a single second , by working orders over a period of time , traders are able to execute vastly higher notional trades in the CLOB than ToB sizes alone would suggest . For those wanting to trade bilaterally with chosen liquidity providers in a risk transfer manner , CME Group also offers blocks / EFRPs execution on futures . Additionally , CME Group is set to launch FX Spot +, available for client testing by end of 2024 , a new spot FX marketplace , that will allow users to interact with FX futures liquidity in spot form .
( Chart 1 ) ( Chart 2 )
Souce : CME Group
CME FX Spot + launch subject to all regulatory reviews CME Group futures are not suitable for all investors and involve the risk of loss . Full disclaimer : https :// www . cmegroup . com / disclaimer . html . Copyright © 2024 CME Group Inc .
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