FX alternative data

We speak in volumes
You achieve greater insight

CLSMarketData
As the largest single source of We leverage the power of this
FX executed data available to the information to help market
market, our datasets include data participants understand
based on over 3 billion trades market dynamics and improve
executed since 2011. decision making.

Average daily volume by source March 2024

CLS traded data USD2.11 trillion

London Stock Exchange Group USD484 billion* How CLSMarketData is collected

We receive trade data primarily
via Swift XML directly from
our settlement members, flowing
Deutsche Börse USD146 billion** through their CLS API link.

* LSEG FX Trading Venues, March 2024

0 ** Deutsche Börse 360T Daily Trading 0.5 1 1.5 2 2.5
Volumes, March 2024
USD trillion

1.99+ 40 18
Award:  ata quality
D
Best market recognition:
data provider
The Value of Volume in
Foreign Exchange, by
USD trillion major currency pairs of the most actively traded
currencies globally1
University of Melbourne average daily
and Cass University 2017 traded volume

Australian dollar, Canadian dollar, Danish krone, euro, Hong Kong dollar, Hungarian forint, Israeli shekel, Japanese yen,
1 

Korean won, Mexican peso, New Zealand dollar, Norwegian krone, Singapore dollar, South African rand, Swedish
krona, Swiss franc, UK pound sterling and US dollar.
CLSMarketData can
add value throughout the
buy-side community.

Seeking Trade Risk Transaction

alpha* execution management cost analysis
• Assess current • Optimizing • Additional insights • Enhance existing trade
trading models execution models into risk management cost analysis
• Use data to enhance • Better understand • Better understand • Better estimate and
execution models market conditions your risk track FX cost

Develop uncorrelated Optimize and time Measure liquidity risk Measure

FX Volume models your trading market impact
Measure volatility better

FX Flow Calibrate models Improve best

effectively Fine tune trading Manage risk with insights execution monitoring
FX Quickly identify shifts strategies into market behaviour Reduce transaction
Outstanding in market trends costs

Optimize VWAP / TWAP Benchmark against

FX Pricing execution models VWAP / TWAP

• Quantitative analysts • Execution traders • Risk managers • Performance analysts

*T
 he data sets
• Heads of research • Portfolio managers described here
• Portfolio managers do not constitute
investment or
financial advice.
Past performance
is no guarantee
of future results.
CLSMarketData can
add value throughout the
sell-side community.

Business Sales tools Trade Risk and

development * execution compliance
• Enhance client and • Access comprehensive • Optimize • Enhance reporting
market share analysis independent data to execution models and monitoring
support sales activity • Enhance intraday visibility
of market activity across
FX instruments

Add volume depth to

Measure regional market Provide an independent Identify abnormal activity
trading analysis and build
FX Volume share activity to identify view of traded activity
a comprehensive view Measure liquidity risk
gaps and opportunities by tenor
of volumes by tenor

Identify synergies and Provides independent

FX Flow market colour on traded
areas for growth Provides informed Augment volatility
flow by sector
FX Enhance visibility across volume depth by sector and risk modelling
Provide holistic view
Outstanding forwards and swaps
of net traded flows

Benchmark execution by Reference market traded Identify abnormal pricing

FX Pricing providing independent VWAP/TWAP rates activity using market
VWAP/ TWAP rates traded average rates
• Heads of FX trading • FX and eFX sales • Spot and eFX traders • Risk managers
and sales • STIR traders • Compliance officers *T
 he data sets
• Client development • Quantitative analysts • Risk analysts
described here
do not constitute
• COO and investment or
business managers financial advice.
Past performance is
no guarantee
of future results.
FX Volume
Quality, executed trade volume data Benefits
to enhance your trading models, • Improve your understanding of the
support post-trade analysis and changing nature of global currency markets
and trading performance by researching
reporting and strengthen investment
historical trends.
and research analysis.
• Strengthen your liquidity strategies and
FX Pricing
Data highlight support trend analysis over different tenors.
FX Volume provides intraday hourly or Volume and time-weighted executed
daily executed FX spot trade volume data • Enhance your trading models and trade spot pricing data provides a
in 40 currency pairs. Trade volumes are strategies and support post-trade analysis comprehensive view of market activity
aggregated by currency pairs, region, trade and reporting by incorporating liquidity
size, number of trades and total value
in USD equivalent.
at each tenor.
to help improve your analysis of pricing
trends, measure the quality of your Volume helps
Executed FX outright swaps and forwards
• Evaluate performance, achieve greater.
insight into market dynamics and support
business decisions and enhance
data-driven trading algorithms.
predict next day
volume data with detailed tenors and tranches
can be delivered hourly and end-of-day to
your business and trading models by
developing new forwards and swaps Data highlight
currency returns
help meet your requirements. market analytics. Price data values are created using market
standard VWAP/TWAP conventions and
and is economically
• Reduce trading risk quickly and accurately
by analyzing trends over time.
broken down by five-minute intervals,
updated hourly and daily. valuable for
currency investors.
Benefits
• Improve capital and operational efficiencies
through daily pricing trend analysis.

• Enhance your trading algorithms and

USD/JPY CLS FX Spot Volume
minimize market impact.
USD/JPN FX Spot Volume 2020 2019
• Strengthen financial and risk control around
valuations and mark-to-market assessments.
US national emergency
250
• Drive a better outcome for best execution Foreign Exchange Volume by Giovanni Cespa,
and transaction cost analysis. Antonio Gargano, Steven Riddiough and
200 Lucio Sarno, 2022
EU lockdown
Review of Financial Studies
Italy lockdown
USD billion

150
US fiscal stimulus

100

50

Feb 15 Mar 01 Mar 15 Apr 01 Apr 15

FX Flow FX Outstanding Our data history aids analysis to
FX flow data helps inform your
directional trading strategy by enabling
FX outstanding data offers insights
into forward-looking net positions by
predict future events, supports market
you to track the flow and volume of
market participants to detect and/or
capturing outstanding forward and swap
trades across market participants to
research and helps in understanding
generate trading signals.

Data highlight
provide insights into market dynamics.
past evolution patterns.
Data highlight
Provides data illustrating aggregate flow between This end-of-day report provides daily
certain counterparty types: market makers and insights into outstanding forward and swaps
price takers; non-bank financial institutions and positions across the FX market. Offering further
banks; funds and banks; and corporates and transparency across short and long term tenors Data history
banks. The data includes built-in parameters to by market participant type including corporate,
capture volume purchased and sold, as well as fund, non-bank financial institutions and CLSMarketData Daily Hourly 5-Minute Hourly 5-Minute Dynamic
number of trades executed across the market. bank segments. products Daily Daily Daily Hourly Hourly 5-Minute
Data is predominantly updated daily and (Earliest available)
aggregated in hourly intervals but is also available FX Spot Volume 31 Oct 2011 31 Oct 2011 31 Oct 2011 03 Jul 2017 27 Feb 2019 –
in a dynamic delivery window every ten minutes.* Benefits
• Enhance your visibility of market activity FX Forward
31 Oct 2011 31 Oct 2011 – 30 Sep 2021 – –
and trading flows across short- and long-term Swap Volume
Benefits forward and swap tenors.
• Achieve an improved understanding of FX Spot Flow 03 Sep 2012 03 Sep 2012 03 Sep 2012 27 Oct 2017 – 10 Jul 2022
trading flows by calibrating your trading • Augment volatility modelling of
FX Forward
models more effectively and structure your asset and derivative prices for greater market 03 Sep 2012 03 Sep 2012 – 30 Sep 2021 – –
Swap Flow
positions according to likely increases in flow. transparency.
FX Spot Pricing – – 01 Sep 2015 – 22 Aug 2017 –
• Manage your risk and liquidity through • Improve accuracy of trading rules and
in-depth insight into market participant strategies with enhanced transparency FX Forward
of the forward-looking net positions across 03 Sep 2012 – – – – –
behaviors to incorporate liquidity Swap Outstanding
at each tenor. various market participant segments.

• Improve accuracy of trading rules and

strategies with enhanced transparency of the
forward-looking net positions across various Methodology Accessing CLSMarketData
market participant segments. The underlying data is adjusted to follow CLSMarketData is available via a REST
the reporting convention used by the API or downloadable in .csv format from
Bank for International Settlements (BIS) the CLS Direct portal.
AUD/USD FX Spot Flow** Buy side Corporate Fund Non-Bank financial
Buyside Corporate Fund Non-Bank financial and the local semi-annual foreign exchange
+600 committee market reports. These surveys
only report the bought currency values,
+400
or one leg of the trade, to avoid double
+200 counting the total amount of trades.
USD million

-200

-400

-600
Mon 17 Aug Tues 18 Aug Wed 19 Aug Thurs 20 Aug

* The average delivery can be between 15-30 mins and slightly longer delays can occur.
** The data used in the above chart is for illustrative purposes only.
 Access to Aggregated executed Available for
over 50% of global trade data for subscription via open
FX volumes 18 currencies across data delivery platform
40 currency pairs

To subscribe to our data or for more information, please email data@cls-services.com cls-group.com

All views or opinions expressed in this document are CLS’s and do not reflect the position of any other organization. The information included herein does not constitute investment or financial advice and should not be relied upon as such.
This document is for the exclusive use of the recipient and may not be quoted, forwarded, copied or shared, in whole or in part, without the prior written permission of CLS Group. © 2024. CLS Group. All Rights Reserved. CLS and the CLS logo are registered trademarks of CLS UK Intermediate Holdings Ltd.
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