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:
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).
The top toolbar allows you to configure the dashboard to display the information you are interested in.
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.
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.
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.
This allows you to choose the desired granulatity in minutes for traded volume buckets, TOB spread prices and TOB volumes.
Data is updated on a T+1 day basis.
Note: EBS Direct TOB spreads are not available as they are bilaterally quoted between counterparties.
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.
Similar display to EBSM TOB spread distribution but displaying TOB FX futures spreads.
A side-by-side comparison of EBS Market and FX futures TOB volume.
To export the data click on the “Data” tab and then on your preferred export format. Excel and CSV are available.
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