FX Market Profile User Guide

Compare and contrast CME FX products on a side-by-side basis to improve context and decision making.

The FX Market Profile dashboard allows traders to compare and contrast CME FX products on a side-by-side basis to improve context and decision making. You can quickly analyze 18 FX futures markets, 8 FX Link contracts, and the OTC Spot FX equivalents to understand the bid-ask spreads, when the markets are active, and the available liquidity in the order book out to 10 levels.

The dashboard can be used to:

  • Compare traded activity across markets to see which platforms are busiest throughout the trading day
  • View the volumes of FX futures traded in both contract and notional terms to determine when the market is most active
  • Find out what times of the day have the tightest spreads, and compare spreads for FX Futures, FX Link and OTC Spot FX
  • View statistical plots available for top of book (“TOB”) spreads
  • Review historic data to determine how spreads, order book depth and trading activity performed over your determined time range

Note: All times are shown in GMT and all data is exportable, down to the five-minute level. (Only one-hour buckets available for the percentile plots).

Getting Started

The top toolbar allows you to configure the dashboard to display the information you are interested in.

Currency

The dashboard features 18 FX futures markets and cash equivalents. EUR/USD, USD/JPY, AUD/USD, USD/CAD, GBP/USD, USD/CHF, NZD/USD, USD/CNH, USD/MXN, USD/ZAR, USD/RUB, EUR/JPY, EUR/GBP, EUR/CHF, EUR/NOK, EUR/SEK, USD/NOK and USD/SEK.

Date Range

You can choose to review over recent calendar months, the last 30 days, or you can enter your own custom date range.  You can also choose the intra-day time period that is shown in the dashboard. Note that selecting a different date range via the drop down will update the start and end times.

By default the tool displays 00:00 – 20:00 GMT.

Order Book Level

In addition to TOB data, you can choose to view spread and order size data for up to ten levels of the orderbook. This allows traders to see how the spreads and order book depth change as multiple levels are selected.  There is also a “Futures VWAP” selection which provides a volume weighted bid-ask spread from the FX futures order book for the equivalent volume quoted on EBS Market top of book; this allows you to compare spreads based on like for like order volumes from each market.

Granularity

The tool enables traders to select the time granularity that they wish to see – from 60 mins down to 5 min intervals.

Update Frequency

Data is updated on a T+1 day basis – the tool does not provide real time / trade date data, it is providing backward looking data for analysis.

Types of analysis

Percentage of traded volume and TOB spread in full pips for each market segment

  • Plots the traded volume for each of the three markets, FX futures, EBS Market and EBS Direct as a percentage of the hours selected.
  • Overlays the bid-ask spread for the selected orderbook levels for EBS Market and futures.

Note: EBS Direct TOB spreads are not available as they are bilaterally quoted between counterparties.

EBSM TOB spread distribution in full pips

A box-whiskers (percentile) plot that buckets TOB EBS Market spreads into an hourly statistical plot. The median spread is shown in orange. The blue box highlights the range observed 50% of the time between the 25th and 75th percentiles.

FX futures TOB spread distribution in full pips

Similar display to EBSM TOB spread distribution but displaying TOB FX futures spreads.

EBSM and FX futures TOB volume

A side-by-side comparison of available EBS Market and FX futures orderbook volume for the selected orderbook levels.

Exporting the data

To export the data click on the “Data” tab and then on your preferred export format. Excel and CSV are available.

Help and support

Available Data

The dashboard has three separate panels, showing:

  • Cash Futures Analysis
  • FX Link – Futures data
  • Historical Analysis

Cash Futures Analysis

FX Link – Futures Analysis

Getting Started

As before, the top toolbar allows you to configure the dashboard to display the information you are interested in.

Currency

The dashboard features the same 18 currency pairs as the Cash Futures Analysis.  FX Link data is available for 8 currency pairs: EUR/USD, USD/JPY, AUD/USD, USD/CAD, GBP/USD, USD/CHF, NZD/USD, and USD/MXN.  Where one of the additional ten currency pairs is chosen, outright futures market data is shown only.

Date Range

You can choose to review over recent calendar months, the last 30 days, or you can enter your own custom date range.  You can also choose the intra-day time period that is shown in the dashboard. Note that selecting a different date range via the drop down will update the start and end times.

By default the tool displays 00:00 – 20:00 GMT.

Order Book Level

In addition to TOB data, you can choose to view spread and order size data for up to ten levels of the orderbook for both Futures and FX Link markets.

Granularity

The tool enables traders to select the time granularity that they wish to see – from 60 mins down to 5 min intervals.

Volume Plot

The traded volume chart can be displayed in terms of the number of contracts traded, the US$ value or the percentage of volume observed in each time period.

Contract

This allows you to spread and volume data for either the most active contract month (typically the front quarterly contract in the major currency pairs) or all contract months blended together.

Types of analysis

Percentage of traded contracts and volume and orderbook spread in full pips for each market segment

  • Plots the traded volume for FX futures and FX Link markets.
  • Traded volume is shown in terms of number of contracts traded, the US$ value traded, or as a percentage of the hours selected.

FX Link TOB spread distribution in full pips

A box-whiskers (percentile) plot that buckets TOB FX Link spreads into an hourly statistical plot. The median spread is shown in orange. The grey box highlights the range observed 50% of the time between the 25th and 75th percentiles.

FX futures TOB spread distribution in full pips

Similar display to FX Link TOB spread distribution but displaying TOB FX futures spreads.  This is the same data as shown on the Cash Futures Analysis panel.

FX futures and FX Link Orderbook volume

A side-by-side comparison of available FX futures and FX Link orderbook volume for the selected orderbook levels.

Historical Analysis

Getting Started

Again, the top toolbar allows you to configure the dashboard to display the information you are interested in.

Currency

The dashboard features the same 18 currency pairs as the Cash Futures Analysis and the FX Link – Futures Analysis.

Date Range

The default setting for the Historical Analysis is the previous six months.  You can also choose your own custom date range as well as defining the intra-day time period that is shown in the dashboard. Note that selecting a different date range via the drop down will update the start and end times.

By default the tool shows 00:00 – 20:00 GMT

Order Book Level

In addition to TOB data, you can choose to view spread and order size data for up to ten levels of the orderbook, plus the Futures VWAP spread as previously described.

Granularity

This allows you to choose the desired granularity as daily, weekly or monthly.

Volume Plot

The traded volume chart for Futures and FX Link can be displayed in terms of the number of contracts traded, the US$ value or the percentage of volume observed in each time period.

Contract

This allows you to spread and volume data for either the most active contract month (typically the front quarterly contract in the major currency pairs) or all contract months blended together.

Types of analysis

This panel provides the analysis formats seen on the Cash Futures Analysis and Futures – FX Link panels, presented for the chosen granularity.

Exporting the data

On any of the three panels, to export the data click on the “Data” tab and then on your preferred export format. Excel and CSV are available.

About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

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