Forums  > Trading  > Is using fx futures historical data kind of good enough as a proxy for fx spot  
     
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rickyvic


Total Posts: 117
Joined: Jul 2013
 
Posted: 2017-03-02 13:07
Or a better question is: anybody can share some orderbook and trades data for any spot fx venue?

Prices are beyond reasonable, so I was thinking of looking into using futures and see if we can correct for the different microstructure, if even possible.



"amicus Plato sed magis amica Veritas"

Tradenator


Total Posts: 1585
Joined: Sep 2006
 
Posted: 2017-03-02 13:59
Many moons ago I used end of day FX futures and spot prices from CSI to test interest rate parity via the Black 1976 model and was impressed that the FX futures appeared properly priced in that respect. The model residuals were very small. I forget where I got the interest rates from, possibly also from CSI. So, at least for the end of day prices I would say that you could extract spot from futures (with interest rates). Be careful about extending this to intraday. I think you would be wise to get proper spot data.

rickyvic


Total Posts: 117
Joined: Jul 2013
 
Posted: 2017-03-02 15:26
Definitely true in that respect it is no surprise for end of day.
For intraday the issue is the different microstructure but my guess is that toxic flow and orderflow will be indicating a similar thing, proper fx spot data are not affordable at this stage. We asked pretty much everyone and prices are beyond high.


"amicus Plato sed magis amica Veritas"

HitmanH


Total Posts: 437
Joined: Apr 2005
 
Posted: 2017-03-02 15:52
I think it's fine to use. spot/futures basis is almost non-existent - shouldn't be a problem

rickyvic


Total Posts: 117
Joined: Jul 2013
 
Posted: 2017-03-02 22:24
Orderflow I am guessing is retail mainly, some CTAs but not big stuff as far as I know. I am not sure how informative but pricewise should be in line.

"amicus Plato sed magis amica Veritas"

TSWP


Total Posts: 381
Joined: May 2012
 
Posted: 2017-03-09 20:51
>Prices are beyond reasonable

PM me, I'll give you a link to a decent, affordable data provider.


The only thing that counts: can you make money?

ESMaestro


Total Posts: 137
Joined: Jun 2009
 
Posted: 2017-04-21 16:44
Contact them, inquire about your needs. In past data pulls on futures front, found pricing flexibility (beyond what website insinuates) really exists when you start pulling more than a few symbols.

TickData

Luciender


Total Posts: 74
Joined: Aug 2008
 
Posted: 2017-04-21 18:16
"Orderflow I am guessing is retail mainly, some CTAs but not big stuff as far as I know. I am not sure how informative but pricewise should be in line."

In terms of ADV the CME fx-complex is up there with EBS (round 100bn both last i checked).

rickyvic


Total Posts: 117
Joined: Jul 2013
 
Posted: 2017-04-28 14:42
True, thanks. CME seems to be key actually so problem solved.

"amicus Plato sed magis amica Veritas"
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