Strengthening price discovery and market quality during 2024

  • 30% reduction in cost of spread in EURUSD with the introduction of 1/4 pip price precision. 
  • 5x increase in market data frequency to support public price discovery
  • 4x reduction in minimum quote life to improve spreads and support passive execution quality.
  • 1 single, accessible primary NDF CLOB liquidity pool.

Facilitating liquidity and price discovery during market stress during 2024

  • $70B USDJPY single-day volume, facilitating efficient risk transfer amid volatile markets (April 29).
  • $15.5B Asian NDFs single-day volume, highlighting the important role EBS plays in the global market (August 5).
  • $145.4B single-day volume on EBS, the highest since March 2020 (August 5).
  • $34B single-day record in CNH on EBS as U.S. elections sparked a global FX trading surge (November 6).

When the going gets tough

Foreign Exchange is widely regarded as the biggest and most liquid financial market. However, periods of market stress have highlighted the potential for reduced liquidity, even impacting the most stable G10 currency pairs. It becomes critical for trading participants to have an accurate, near real-time view of the market from the source of price discovery, along with certainty and deep liquidity for risk transfer. 

Last year, we saw EBS Market volumes and order flow increase significantly during several key economic events: EUR/USD on the U.S. Fed meeting in January, USD/JPY on the BOJ policy update in May, USD/INR NDF over the India elections in June and USD/CNH over market uncertainty in March, July and November. 

These are times when the risk and opportunity of FX trading magnifies, and market participants greatly benefit from price determinism, transfer risk in large amounts with certainty and capture spreads through passive orders, all through the centralized primary market of EBS Market.

April 29 was one such crucial day for the Japanese yen market, when spot breached 30-year highs but subsequently dropped below 155.00, trading a huge range of more than 500 pips in a single trading session. Just within the four-hour time window of 04:00 GMT through 08:00 GMT on the day, the EBS all-to-all market witnessed the following: 

  • Substantial order flow in USDJPY, with almost 850 orders submitted for >=$50 million with a maximum order size of $355 million.
  • The average order size within the whole book was ~2.5 times the usual.
  • Order arrival times (median) were ~3 times faster.*

*Measured in the period Apr 1 - Apr 25 as comparison.

EBS Market served as a foundational source of JPY liquidity when needed most, with over $70 billion traded in spot USD/JPY on that day. As the reference market for spot USD/JPY, it recorded an absolute high of 160.245 and a market high of 160.19, with both the absolute and market low of 154.40 on April 29.**

Spot USDJPY on EBS Market April 29, 2024
Source: CME Group (FX Trade Activity Dashboard, Spot USDJPY on EBS Market April 29, 2024)

**Absolute (Touch) Highs/Lows  represent the highest and lowest rates dealt in a currency pair. Market High/Low Criteria values represent the highest and lowest dealt rate that meets a specific quantity criteria within a two-minute time interval. For USD/JPY, the amount criteria is 10m base currency traded.

Fast forward six months and the market volatility following U.S. election results on November 6, 2024, served as another example of EBS Market proving to be the reliable venue of risk transfer when it mattered most. Amidst a total of $275 billion notional volume traded across FX platforms at CME Group on the day, spot USD/CNH on EBS stood out, trading its all-time record volume day of over $34 billion, led by EBS Market central limit orderbook trading ~$30 billion in the pair alone.  

Zooming once again into the busiest four-hour time window of the day, 02:00 to 06:00 GMT, on EBS Market:

  • Sizeable order flow in spot USD/CNH with 300+ orders for >=20 mio notional, with a maximum order size of 171 mio.
  • The average Top of Book order size was +33% than usual (shown and iceberg/hidden inventory included).*
  • Order arrival times (median) were ~5x faster.*

*Measured in the period Oct 1 - Oct 31

Market participants navigated the heightened volatility through trading on EBS, benefitting from its transparency and determinism with a near real-time view of the market, transacting all-to-all (credit screened) with firm order interest and managing market impact through a range of order types, including Passive limit orders, Iceberg and Price discretion.

Spot USD/CNH printed a touch high of 7.2097 and touch low of 7.0905 on the day.**

Source: CME Group (FX Trade Activity Dashboard, Spot USD/CNH on EBS Market November 6, 2024)
Spot USD/CNH on EBS Market November 6, 2024

**Absolute (Touch) Highs/Lows represent the highest and lowest rates dealt in a currency pair. Market High/Low Criteria values represent the highest and lowest dealt rate that meets a specific quantity criteria within a two-minute time interval. For USD/JPY, the amount criteria is 10m base currency traded.

EBS Market rebooted: new solutions for efficient trading and simpler access

The EBS Market platform also went through a journey of market-driven product enhancements that aim to further enhance primary venue price discovery, execution quality and facilitate broader and simpler access to market participants globally.

In Q1 2024, EBS Market rolled out a series of product enhancements that started with the rollout of faster market data and lower MQLs (minimum quote life), followed on by reduction in price increments (starting with AUD/USD and EUR/USD) to ¼ pips that improved key liquidity and execution metrics. 

Key highlights observed in EUR/USD spot liquidity on EBS Market:

  • Top of Book spreads witnessed a significant 30% reduction, Average Top of Book stands at 0.63 pips throughout the day.
  • Spread improvements held over market events demonstrating ability to support better liquidity even in more volatile periods. For example, EUR/USD median spreads were 17% lower over the U.S. CPI data release.
  • Over 20% of EUR/USD volume is now being traded on quarter and three-quarter pip increments.
  • Percentage of price points traded has seen significant increase to almost 90% from a prior average of ~60% pre-introduction of one-fourth pip increments.
  • 5x increase in market data frequency to support efficient price discovery.
  • 4x reduction in minimum quote lives to support passive execution quality.

Spread compression in EUR/USD on EBS Market

Spread compression in EUR/USD on EBS Market
Source: Quant Analytics, CME Group

Additionally, we consolidated the EBS Market NDFs into a single liquidity pool on September 30, 2024. This operates under the EBS UK MTF and enhances operational and regulatory efficiency for 1-month NDF trading, ultimately benefiting clients and the wider marketplace.

Looking forward to Q1 2025, we will be launching FX Spot+, a revolutionary spot FX marketplace that connects futures liquidity with spot trading. This will provide OTC traders with more liquidity access and create a more unified FX market.

Collectively, ongoing enhancements to the market structure of our FX offerings aims to provide greater liquidity, improved execution quality as well as broader and more straightforward access to central limit order books.

For any questions or feedback, please feel free to reach out to FXTeam@cmegroup.com.


All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2025 CME Group Inc. All rights reserved.