User Help System
EBS Market Profile
The EBS Market Profile dashboard shows clients’ trade, order, spread and TOB volume across various EBS product groups.
Clients can quickly bring up any market, and at a glance, determine the times of the day with the tightest prices, the most activity and the most liquidity at TOB (top of book) - important for calculating execution efficiencies, slippage costs, minimizing market impact on trades, etc.
Note: All times are shown in GMT.
The four main sections on the dashboard are:
- Traded Volumes Profile of Major EBS Markets (EBSM, EBSD --Disclosed and non-disclosed)
- Shows the volume as a percentage of the hours selected (default is days).
- Overlays TOB EBSM spreads.
- EBS Order Arrival time
- Shows the time in seconds to receive a predefined quantity of EBSM orders following any random trade across our ecosystem, based on monthly average orders arrival per 30 seconds.
- Can be used to estimate expected holding / clearing times for currencies, based on a minimum trade size (1-3 mil), which can then be adjusted by various methods to estimate clearing times for larger tickets (e.g. 50 mil = Sqrt (50) * 1 mil = 7 times the numbers calculated for liquid markets.
- EBS Markets TOB Spread charts
- Buckets TOB spreads into a Box-Whiskers (Percentile) Plot, to show 5%, 25%, 50%, 75% and 85th percentile buckets of the TOB markets spreads.
- EBSM Markets TOB Volumes (Shown and Hidden amounts)
- Time weighted numbers for chosen periods.
Command List – Market Profile
Monthly Snapshot
Allows user to choose pre-cached data for the Previous 30 days (default), current MTD, or previous two months.
Only the top 20 markets are pre-cached, so analytics display more quickly on the screen. Select a ‘snapshot’ value and queries are automatically returned.
Currency
Allows user to optionally input any Currency for analysis. Single EBS Currency symbol codes are required, e.g. EURUSD, or USDI01 for Off-SEF INR.
Start/End Date and Start/End Times
See User Interface Conventions section for more details. The default is 00:00:00.000 GMT and 20:00:00.000 GMT.
- USDRUB might optimally start at 07:00:00 and USDI01 stop at 11:00:00.
Granularity
Choose the granularity for traded Volume Buckets, Spread Buckets and TOB volumes.
Graphical or Data Views
Switch between Graphical or Data views by clicking the Graph or Data tabs. This changes settings for all display tabs. In the data view, it is possible to export to Excel.
Figure 1: Graphical View
Figure 2: Data View
To export to Excel or CSV, click the icon just, above the data table.
Changing Display Sizes
To adjust the graph size, click and drag the window tops / bottoms to your desired preference for printouts.
To minimize displays, click on title bars.
Before…
After clicking on EBS Order Arrival Time title:
Percentage of Trade Volume
Traded Volumes Profile of Major EBS Markets (EBSM and EBSD [disclosed and non-disclosed])
- Shows the volume as a percentage of the hours selected (default is days)
- Overlays TOB EBSM spreads
- Click and toggle to display:
- TOB Spread in full pips
- EBSD % traded volume
- EBSM % traded Volume
In example below, bucket time 02:00-02:30 had 0.053% of the day’s trades in that half hour on EBSM.
The same graph, with TOB spread and EBSM volumes turned off, shows that the most active trading period was 13:30-14:00 GMT in EBSD with 6% of days trades occurring in that half hour.
EBS Order Arrival Time (Box Whiskers Plot)
This graph calculates the arrival time of X many orders in EBS Market following any parent trade in EBSD or EBSS. X Varies per instrument and is not disclosed to clients, and X is fixed per period and X is calculated per asset based on the average order count per 30 seconds over the past 28 trading days.
EBS TOB Spread Distribution (Box Whiskers Plot)
This graph displays the TOB spread (ask-bid) in full pips of the currency and buckets them into granularity buckets and grouped into percentile distributions: the blue box of the body represents 50% of the times, bounded by 25th and 75th percentiles. The median for each hour is a yellow star, and the outside wings are shown at 5 and 85th percentiles as purple dots.
In the graph below, in the hour between 10:00-11:00 am in EURUSD, the median spread was 1 full pip. This 1 pip also represented the 25, 75 and 85 percentile, so this meant that only 5% of the time was EURUSD spread 0.5 pips, and only 15% of less the market was greater than 1.0 pip.
This graph provides a good, quick visual as to the true distribution of the TOB spread of a currency.
Other markets such as USDCNH, which have more spread width and more granularity per market, show a more normal Box-Whiskers plot pattern.