FX Market Profile

The FX Market Profile dashboard, powered by Quant Analytics, allows traders to compare and contrast CME FX products on a side-by-side basis to improve context and decision making.

The top toolbar allows you to configure the dashboard to display the information you are interested in.

 

Currency

The dashboard features 18 FX futures markets and cash equivalents. EUR/USD, USD/JPY, AUD/USD, USD/CAD, GBP/USD, USD/CHF, NZD/USD, USD/CNH, USD/MXN, USD/ZAR, USD/RUB, EUR/JPY, EUR/GBP, EUR/CHF, EUR/NOK, EUR/SEK, USD/NOK and USD/SEK.

 

Date Range

You can choose to review over recent calendar months, the last 30 days, or you can enter your own custom date range. You can also choose the intra-day time period that is shown in the dashboard. Note that selecting a different date range via the drop down will update the start and end times.

By default, the tool displays 00∶00 – 20∶00 GMT.

 

Order Book Level

In addition to TOB data, you can choose to view spread and order size data for up to ten levels of the orderbook. This allows traders to see how the spreads and order book depth change as multiple levels are selected. There is also a “Futures VWAP” selection which provides a volume weighted bid-ask spread from the FX futures order book for the equivalent volume quoted on EBS Market top of book; this allows you to compare spreads based on like for like order volumes from each market.

 

Granularity

The tool enables traders to select the time granularity that they wish to see – from 60 mins down to 5 min intervals.

 

Update Frequency

Data is updated on a T+1 day basis – the tool does not provide real time / trade date data, it is providing backward looking data for analysis.

Exporting the Data

On any of the three panels, to export the data click on the “Data” tab and then on your preferred export format. Excel and CSV are available.