Sources for Estimating Foreign Exchange Trading Volume
Summary
The document surveys possible sources for estimating foreign exchange trading activity when comprehensive official figures by currency are unavailable. It points to a North American Foreign Exchange Volume Survey, which reports activity across spot, forwards, swaps, and over-the-counter options. It also mentions published graphs covering major electronic communication networks and CLS, though it does not establish the underlying data source.
Retail broker statistics are another possible proxy, with a key limitation: brokers may report only their own customers’ activity, and reported measures may count transactions rather than traded volume. These sources can help build partial estimates, but they do not necessarily represent the whole FX market or use comparable definitions and coverage. The document gives leads rather than a method for aggregating them, and it includes no figures or assessment of data quality. Any use for market sizing should check each source’s scope, units, geography, and reporting frequency.
Key ideas
- A North American survey reports activity across several FX instrument types.
- Electronic venue and settlement data may offer additional views of market activity.
- Broker statistics can be limited to a broker’s customers or count transactions instead of volume.
- These sources are partial proxies and may not be directly comparable.
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# Estimate of fx trading volume # Estimate of fx trading volume I understand that there are no official figures of fx trading volume per currency, but are there any good estimates? Is there any fx exchange that is particularly forthcoming with its volume data, say on a monthly basis? Googling the answer has only been partially helpful. (I am not a professional quant, but this is related to professional consulting for a large fund, so I figured this was a good place to ask.) ## Answer by user1157 (score 2) https://quant.stackexchange.com/a/10220 The foreign exchang comitee publishes a report for North America, the FX Volume Survey. From the website: > The Foreign Exchange Committee launched its inaugural Survey of North American Foreign Exchange Volume in October 2004 in order to provide the market with frequent information on the size and structure of foreign exchange activity in North America. The survey contains information on - Spot Transactions - Forward Transactions - Foreign Exchange Swaps Transactions - Over the Counter Options ## Answer by Nonefaster (score 1) https://quant.stackexchange.com/a/9631 This blog entry has graphs of the major ECN and CLS volumes - it has the data you are looking for. Suggest you ask the author where the data comes from (there is a contact button). http://www.marketfactory.com/the-missing-billions/ ## Answer by Shahar (score 0) https://quant.stackexchange.com/a/14521 Some retail forex brokers (e.g. Dukascopy and FXCM) provide this information. But note that the former seems to indicate number of transactions, and the latter only counts transactions involving its own customers. Since you were asking for estimates, perhaps these will do? HTH
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