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Hi Richard,
Thank you for the information you provide.
I have to admit I was citing a source I was not really confident about
regarding the 1% forex exchange traded share, which was a 2004
tradingintl pdf guide to forex markets, not quite updated I suppose
I would like to know what is a more updated and trustworthy reference
and also ask you if you think 10% would still be indicative of the
remaining 90% volume.
In other words are the forex futures volumes correlated to the OTC
volumes , and if yes on which time scale?
I assume different investors trade on the OTC and not OTC market, so
future volumes could be quite different.
Also how much do you think can a small investor trading through a
small broker like IB trust the quotes provided for the spot market?
I guess these are quite obvious questions since everybody would like
to know what are the global forex trading volumes, and from what I
understood the only indication are the open future position reports ,
which again would suffer from a similar weakness.
Currency and future prices must be strongly bounded because of
arbitrage, but for volumes, I am not sure
Thanks
Ly
--- In amibroker@xxxxxxxxxxxxxxx, "Richard Dale" <richard@xxx> wrote:
>
> Currencies traded by futures contracts represents far more than 1%.
>
>
>
> OTC forex (spot, outright forwards, swaps, currency options and currency
> swaps) account for over 90% of forex activity.
>
> Exchange-traded forex is primarily done through futures contracts (and
> associated derivatives such as options-on-futures) and covers less
than 10%
> of the total forex traded.
>
>
>
> Worldwide turnover of foreign exchange is estimated at about $1.5
trillion
> per day in 1998.
>
>
>
> There are around 2000 dealer institutions whose activities are
covered by
> the Bank for International Settlements. The bulk of trading is done by
> around 200 banks who provide market making activity. I doubt IB
would even
> rate a mention in the top 200. Indeed, IB isn't even mentioned in
Reuters
> Spot FX contributors list.
>
>
>
> Best regards,
> Richard Dale.
> Norgate Investor Services
> - Premium quality Stock, Futures and Foreign Exchange Data for
> markets in Australia, Asia, Canada, Europe, UK & USA -
> www.premiumdata.net
>
> From: loveyourenemynow [mailto:loveyourenemynow@...]
> Sent: Saturday, 2 December 2006 11:27 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: IB forex volumes
>
>
>
> I was looking at the CME and globex currency futures for example, but
> equivalent futures are alo traded on eurex , so it seems even future
> markets are not really centralized.
> More importantly, they account for only about 1% of the total forex
> volume, so they may fail in giving information about the actual
> volumes on the spot currency market.
>
> Does anybody have information about the size of IB spot market
> compared to the volumes gloabally traded?
>
> Thanks
>
> Ly
>
> Also I think future are only about
>
> --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com> ,
> "Richard Dale" <richard@> wrote:
> >
> > It's probably a measure of the number of "ticks" aka price changes
> within a
> > particular period.
> >
> >
> >
> > The only meaningful measure of forex volume is that traded on futures
> > exchanges against futures contracts (eg. Chicago Mercantile Exchange)
> >
> >
> >
> > Best regards,
> > Richard Dale.
> > Norgate Investor Services
> > - Premium quality Stock, Futures and Foreign Exchange Data for
> > markets in Australia, Asia, Canada, Europe, UK & USA -
> > www.premiumdata.net
> >
> > From: Anju Layn [mailto:loveyourenemynow@]
> > Sent: Saturday, 2 December 2006 1:07 AM
> > To: amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> > Subject: [amibroker] IB forex volumes
> >
> >
> >
> > Hi,
> >
> > I am trying to see the IB forex volume , which even if are not
> > representative of the global volume since forex is not a centralized
> market,
> > could still be useful to get an idea of what is going on.
> > Using the indicator volume(color) I get some red bar histogram which
> I doubt
> > has any relation to the volume since this does not show up anywhere
> (I guess
> > IB doesn't provide it).
> > Any idea of what that graph is?
> > Applied to other contracts such as future it seems to work.
> >
> > Also, even if IB doesn't provide volume for forex they could be
obtained
> > from time and sales using GetRTDATA("TradeVolume" ) and averaging
> > appropriately..
> > Is this already implemented somewhere?
> >
>
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