FX Volumes Lower in April

No doubt helped by the major holiday towards the start of the month, FX volumes were lower across the boards in April after a busy March, according to the first group of venues to report data – who all calculated over a 20-day horizon, including the long weekends in the US, Europe and elsewhere.

Euronext FX says spot average daily volume (ADV) was $19.7 billion, down 13.2% from March and down 19.9% year-on-year. The platform has started reporting other metrics, these indicate the last look fill rates were 85.4% on its Skew Safe stream; 92% on Full Amount streams; and 84.3% on the platform itself. The average round trip time (to Ack) was 7.3ms from the New York matching engine and 8.3ms from London, while 28% of anonymous volume on the platform was firm. Euronext FX had 50 bilateral counterparties during the month and 61 of its LP were FX Global Code signatories.

Deutsche Börse’s 360T, meanwhile also saw declines, reporting spot FX ADV of $25.4 billion across its platforms. This is 9% lower than March and is down 16% year-on-year. 360T has also started providing more metrics on platform performance, it says the round-trip time on its streaming spot service was at 6ms for 12 days of the month and 5ms for seven days. The remaining day, a major European holiday, saw round trip times hit 8ms on April 10.

Unsuprisingly, streaming spot volume was highest between 8-9am and 3-4pm UK time and during April, 55% of streaming spot volume went through the New York engine, 30% through London and 15% from Tokyo.

Cboe FX reports spot FX ADV of $39.7 billion, down 18% from March, but up 7.3% year-on-year. Within that ADV of firm liquidity was $13.63 billion, at 34.3% of overall volume that is the highest share of firm liquidity since October 2020. The average response time was 9ms and 94% of volume was anonymous. Cboe says the average fill rate on non-firm liquidity rose to 90%, the highest since it started reporting this data.

FXSpotStream, which reports data across all FX products, says ADV was $55.3 billion, this is down 17.2% month-on-month and down 9.7% year-on-year and is actually the lowest level of activity since January 2022.

On NDFs, Cboe FX says its ADV on its SEF was $902 million per day, this is down 20.9% from march but is up 44.3% year-on-year. Elsewhere, 360T NDF volumes were $1.035 billion per day, down 11.8% from March and up 12% from April 2022. 24 Exchange is yet to report.