360T at Three-Year Highs as Spot FX Volumes Level Out Elsewhere

Deutsche Börse’s 360T was the standout performer of the first group of platforms to report FX volume data, hitting its highest levels for spot FX since March 2020. Elsewhere the early signs are that spot FX activity in July was very similar to June, with unchanged average daily volume data (ADV) from June, albeit higher year-on-year.

360T has reported spot ADV of $28.8 billion, a 7.1% rise from June and up 12.1% year-on-year. Although only a fraction above recent peaks, this is the highest ADV reported by the platform since the mayhem of the onset of the pandemic in March 2020, when it hit ADV of $36.9 billion.

Just over a quarter of 360T’s volume came in EUR/USD, with the busiest trading coming at the usual points of the day, the London open and US data. Half of volume was executed on the New York matching engine, down from 54% in June, while London accounted for 31%, up from 29% and Tokyo 19%, up from 17%.

Latency was a lot lower on 360T in July, the platform reports an average round-trip time of 4.85ms, with one day averaging just 2ms. This compares to 5.3ms in June and almost 6ms in May.

There was also a slight increase for another largely bilateral venue, FXSpotStream, with July ADV coming in at $65.1 billion. This is a 3.3% rise from June and is up 1.7% year-on-year.

Euronext FX says spot FX ADV was $23.4 billion, unchanged from June, but up a healthy 9.4% year-on-year – only September 2022 has been higher for the venue in the last year. Euronext says 28.6% of volume on the anonymous platform was firm, up from 23% in June (and back to April’s level), and that the last look fill rates drifted lower from June. The fill rates were 85.7% on its skew safe streams, 92.9% on its full amount channel and 84.3% on its platform. This compares to 86.2%, 93.5% and 85.1% respectively in June.

Last look round-trip times were largely in line with previous months at 8.0ms for the New York engine and 6.9ms for the London. The platform has added one bilateral counterparty since it started reporting this data in April, it now has 52 parties across all engines.

It was a similar picture at Cboe FX, where spot ADV was unchanged at $43.9 billion, although again, there was a very healthy 14.9% increase year-on-year. $14.6 billion per day was traded on a firm basis at Cboe FX, this represents 22.2% of the total on the venue, which is the second highest percentage since October 2020.

The average non-firm response time moved slightly higher in July at 9ms from 8ms, however this is largely in line with the longer-term average. Cboe says 92% of volume on the platform was anonymous (again the same as June) and that the average non-firm fill rate was unchanged at 89%.