FX Volumes Decline in August
Posted by Colin Lambert. Last updated: September 4, 2023
Peak holiday season in the northern hemisphere saw FX volumes drop according to data from the first group of platforms to report.
The Full FX exclusively reported last week that FXSpotStream is changing how it reports data to provide more granularity, and the first report under the new regime shows that overall average daily volume (ADV) declined to $60.75 billion in August,down 6.7% from July and down fractionally, 0.2%, year-on-year. Spot volumes at FXSpotStream were $48 billion per day, this is down 8.6% month-on-month, but up just over 1.4% year-on-year.
360T also saw a decline in spot volumes, ADV falling 10.8% from July to $25.7 billion in August – year-on-year this is up 12.2%, however. Latency fell on the 360T platforms in August, registering 3ms, compared to just under 5ms in July. For the second month in succession, 50% of activity was on the New York engine (numbers are rounded), while the London engine saw a rise in its share (34% from 31% in July) at the expense of Tokyo, which handled 15%).
Cboe FX ADV was $41.1 billion in August in spot, down 6.4% month-on-month, but up 10.5% year-on-year. Firm SDV was $14 billion, down 4.1% from July but up 14.3% year-on-year, Cboe says this is 50% of ECN volume and at 34.1% of overall activity, it is the second highest percentage since October 2020.
Average response time at Cboe FX was 10ms across the London and New York engines, this is up from 9% in July. The non-firm fill rate was 90%, up from 89% in July, while 91% of activity on the platforms was anonymous, down from 92%.
Euronext FX saw spot ADV $22.5 billion per day, a 3.8% drop from July, but up 14.2% year-on-year. The percentage of firm volume rose slightly to 28.7% from 28.4%, while the round trip times were 7.9ms to New York and 7.8ms to London. In July the respective numbers were 8.1ms and 6.9ms.
The average fill rate on Euronext’s Skew Safe streams was 85.7%, on the Full Amount stream it was 93.6% and on the platform it was 84.2%. In July these were 85.7%, 92.9% and 84.3% respectively.