- Exploiting Order Flow for the Discretionary Quant - Part 1
- Exploiting Order Flow for the Discretionary Quant - Part 2
- Simple Mechanical Trend Following in the Forex Market
- Is a Reward to Risk Ratio Inherently Better Than Another?
- Robots Aren’t What They’re Cracked Up To Be
- Creating a Trading System Using Neural Networks
- Function Based Trailing Stop Mechanisms
- The Seven Deadly Sins of Automated Trading
- Exploiting the Volume Profile
- Building Robust FX Trading Systems
- Know Your Currencies
- Automating FX Trading Strategies
- Grammatical evolution
- Identifying an Edge
- Interview with Salvatore Sivieri
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While the foreign exchange markets have no fixed open, nor close, being fragmented between banks, brokers, electronic trading platforms and time zones, they too still display very predictable behaviour.
I have never seen similar analysis done on the foreign exchange markets before, nor seen a strategy published before to exploit the phenomenon.
This is probably because it is impossible to get accurate, historic, or real-time volume data for foreign exchange. However, it is possible to sample the market and compare the findings with other known volume information, to determine the volume profile for foreign exchange:
The EBS (Electronic Broking Service) trading platform is the largest liquidity provider and we can compare this to data also kindly provided by Barclays, from their BARX trading platform. The first two graphs below show the percentage of daily volume traded for each hour of the day, for the major currency pairs.