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 is a simple but effective method to compare and contrast CME FX products on a side-by-side basis to improve context and decision making. You can quickly analyze the top 11 FX futures markets and cash equivalents to determine at a glance what time of day has the tightest prices, the most activity, and the most liquidity at TOB (top of book) for each trading modality.

The dashboard can be used to:

  • Compare where transactional volumes are occurring and at what time of the day the highest volumes are traded.
  • Find out what times of the day have the tightest spreads.
  • Compare TOB spreads for FX futures and cash, analyze which is tighter during each period of the trading day.
  • Normalize TOB spreads for equivalent volumes at all times of the day.
  • View statistical plots available for TOB spreads.

This allows you to understand the volume flow and see what is driving the pricing. It assists in calculating execution efficiencies, slippage costs, and minimizing market impact on trades.

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.

Monthly snaphot

Allows you to choose pre-cached data for the previous 30 days (default), current month to date, or the previous two months. These snapshots are faster to load than a custom configured time range.

Currency

The dashboard features the top 11 FX futures markets and cash equivalents, all USD-based. EUR, JPY, AUD, CAD, GBP, CHF, NZD, CNH, MXN, ZAR, and RUB.

Date and time range

You can enter your own custom time range. Note that selecting a different time range via the monthly snapshot drop down will update the start and end dates.

By default we choose 00:00 – 20:00 GMT as this covers the most active trading for the month.

Granuality

This allows you to choose the desired granulatity in minutes for traded volume buckets, TOB spread prices and TOB volumes.

Update Frequency

Data is updated on a T+1 day basis.

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 TOB Bid-Ask spread for EBS Market and futures.
  • Also shown is a Volume Weighted Bid-Ask spread for the equivalent volume quoted on EBS Market for each minute from the FX futures order book - it is labelled futures Volume Weighted Average Price (VWAP) Spread. This allows you to compare spreads based on like for like volumes from each market at all times. We do this because most often the volumes at top of the book are not the same, therefore we create a lookup on the futures order book.

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. Percentile box plot 50% of the time in the blue box ‒ boundries 25th and 75th percentiles are median orange and 85th and 5th percentiles are purple.

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 EBS Market and FX futures TOB volume.

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

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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