FX Platforms Report Strong December
Posted by Colin Lambert. Last updated: January 4, 2024
Traditionally the quietest month of the year for FX platforms, the first group of platforms to report turnover indicate 2023 ended on a strong note, with year-on-year gains across the board.
Euronext FX actually reported its strongest average daily volume (ADV) for 2023, hitting $24.5 billion in spot per day, up 0.8% from November, but 30.3% higher year-on-year. This is the platform’s highest ADV since April 2022.
Euronext also reports performance data and in December, the average round-trip times (RTT) for the New York and London engines were 10.1ms and 11.3ms respectively, slightly faster in the case of New York (from 10.2ms in November) and slower from London (10.5ms in November). The fill rates on Euronext FX’ streams were 82.7% in Skew Safe (from 81.5% in November); 94% on Full Amount (94.4%) and 83.9% for the Platform (82.6%). The percentage of anonymous volume that was firm was 26%, up from 23.6% in November.
Deutsche Börse’s 360T says it handled $29.1 billion average daily volume (ADV) in December, not only is this a 7.4% increase from November, it is up an impressive 24.9% year-on-year. December’s spot ADV also matches the platform’s high for the year, matching September – quarter end months are historically strong for 360T. Deutsche Börse reports non-spot volume later in the month.
The average RTT on 360T was 6.4ms, slightly down from 6.5ms in November, while 55% of volume was executed on the New York engine (down from 58% in November); 31% in London (30%) and 14% in Tokyo (12%). Reflecting the activity in USD/JPY, that pair was 16% of volume in the month (up from 14% in November), behind EUR/USD at 25% (26%). Cable and USD/CNH both drifted lower in terms of share, from 9% to 8% in December.
FXSpotStream also had a good end to the year, although activity did drift lower from November. The platform also reported data from 21 working days, including the very quiet 25 December, whereas the data taken above is from 20 days. FXSS says ADV in all products was $64.8 billion, which The Full FX estimates would translate to around $68 billion on a 20-day basis. Even accounting for the extra day, volume is up 12.5% up year-on-year and is down 7.4% from November (it would be 2.8% lower on an adjusted basis).
Within this, spot ADV was $49.2 billion (likely to be $51.5 billion on an adjusted basis). Similar to the overall changes, this is up 8.4% year-on-year and down 8.6% from November, but on an adjusted basis is estimated to be +13.4% and -4.3% respectively.
CboeFX also ended the year well, reporting spot ADV of $44.5 billion. This is down 2.1% from November, but up a healthy 20.9% year-on-year. Firm volume on CboeFX averaged $16 billion in December, up from $15 billion in November and just over $10 billion in December 2022.
The average response time on CboeFX was 10ms, up from 9ms in November, while 90% of volume was executed anonymously, up from 89% the previous month, while the non-firm fill rate was 89%, versus 90% in November.
NDFs Follow the Pattern
Activity in NDFs reflected that in major markets, with the three platforms to report data seeing a month-on-month drop, but a strong year-on-year increase.
360T says NDF ADV was $1.28 billion in December, down 11.5% from November, but up a very healthy 32.3% year-on-year. Elsewhere, CboeFX reports it handled $1.08 billion on its SEF, down 21.1% from November, but up an impressive 55.2% year-on-year.
24 Exchange continued its strong end to 2023 with ADV of $2.1 billion – the third highest the platform has reported to date. This is down 20% from