Forex - Spot v's Futures

JTrader

Guest
5,741 506
Hello

I read that the inter-bank spot forex market accounts for 96% of the global foreign exchange market, with the remaining 4% being divided among global futures exchanges such as the CME with Globex.

I am just wondering if the increased number of participants in the spot market - leading to greater liquidity - means that there is a difference in the daily range of price movement between the two markets? i.e. I would have thought the spot market may experience wider moves, maybe higher high and lower lows? :idea: Is this or ths this not the case :?:

Also, as of yet, I haven't been able to look at any CME Globex forex futures charts. Do you know where such futures charts are freely available for the major currency pairs :?:

Many thanks :)

jtrader.
 
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masao

Junior member
42 0

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neil

Legendary member
5,167 749
BBB
Try Rezo on these boards, he's an expereienced Forex man.
 

masao

Junior member
42 0
BBB,

Currently the 14 day avg range is 129 on the eurusd. Here's some TS code for the actual range rather than the average true range that is on the charts I posted above which is currently 121.

plot1 ((high[14]-low[14]+high[13]-low[13]+high[12]-low[12]+high[11]-low[11]+high[10]-low[10]+high[9]-low[9]+high[8]-low[8]+high[7]-low[7]+high[6]-low[6]+high[5]-low[5]+high[4]-low[4]+high[3]-low[3]+high[2]-low[2]+high[1]-low[1]+high-low)/14);

regards,
 

BBB

Experienced member
1,071 3
Thanks massao. Yes, the day avg range is more useful than ATR for this.
 

DaxTrader

Active member
229 2
Futures vs Spot

The futures price doesn't go out of line (except in the short term) too much with the spot , you can see the arbing between cah and spot if you watch the bids/offers in the market - there is lots of size close to the spot bid offer spd (4 pips)
When you get spikes in the futures from stops going off that will probably push futures out of line with the spot and there will be money to be made arbing the two - although sophisticated stop trackers will be ahead of the human hand probably.

The Euro is the only future that is liquid enough to be worth trading - although out of hours even the E's spd goes to 3 sometimes unless you want just 1 lot. During busier times you can save yourself a couple of pips trading the futures over the spot. GBP futures spd tend to be 3 or 4 or more.

There are some good charts here on mancharts
http://www.mandirect.com/trading-tools/quotes_body.cfm
 

JTrader

Guest
5,741 506
"The Euro is the only future that is liquid enough to be worth trading - although out of hours even the E's spd goes to 3 sometimes unless you want just 1 lot. During busier times you can save yourself a couple of pips trading the futures over the spot. GBP futures spd tend to be 3 or 4 or more."

Hi DaxTrader and thanks for the reply. I'm just wondering what constitutes out of hours? I thought that you could trade from Sunday night through to Friday night, 24 hours a day and so am surprised to hear that the EU/USD spread can widen to 3 pips, as I also thought the 1 pip spread was fixed.

Cheers

jtrader.
 

DaxTrader

Active member
229 2
Hi JT

Futures aren't Market maker driven - the bids and offers are prices bid and offered from the likes of you and me. In that sense they are like SETS stocks on the LSE.
With FX spot the banks are market makers - so if for example the eurois 2212 -2215, the various banks are buying at 12 and selling at 15 - and if you or I want to deal those are the prices you have to deal at - the same as small stocks on LSE.

Personally, I think the spds in fx are ridiculus given the volume that goes through - in futures mkts the spd tightens with volume, and FX volume is huge.

With futures there are no official marketmakers - you just choose the price - ie if the E futures are 12-15 as above , you could bid13 for 2 lots and the mkt will be 13-15 with you the best bid. If you want to deal straight away you have to pay 15.

There are no out of hours in futures really, I just meant in the less liquid times - if you look at a 24hr chart you can see that for example not much goes on after 9.30pm our time till Tokyo time, and even then sometimes it is quiet until European morning.
 

BBB

Experienced member
1,071 3
Good stuff Dax.

I read somewhere that the most liquid times on Globex are 3am-3pm ET. I should point out I dont trade this (yet). Ive been promising to ditch stocks and trade futures, but every time I go to make the move, I start making heaps in stocks, so stay until the next dull period...... This has been going on since Feb now!

I also read that the merc are thinking of introducing a market maker market on certain contracts. This was some while ago It was on the Globex section I think (www.cme.com) There again it could of been on e-cbot??
 

JTrader

Guest
5,741 506
Thanks DaxTrader

Which leads me to a new question...........if the forex futures on CME operate like SETS, do you know if there is any form of a level 2 order book, and if so, who is it available to?

P.S. I also agree with you about the FX spreads - they could be smaller and the dealer would still make money - say 2 pips? Due to the liquidity it would seem that the spreads can still be big and the trader should not struggle to cover them.

Cheers

jtrader.
 
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JonnyT

Senior member
2,560 22
Hi Jtrader,

There is a depth of market free to anyone if your broker provides it (IB do)

Remember though there are no market makers so it not the same as level II as all deals are done direct with the exchange.
 

JTrader

Guest
5,741 506
Hi
on the Globex futures, one contract for the EUR/USD equates to $12.5 per pip and the spread would be one pip. I am just wondering how many contracts a trader would be likely to be able to trade in one trade without the spread widening to beyond 1 pip due to a lack of availability at the market price?

Cheers.
 

JonnyT

Senior member
2,560 22
I don't think its a major issue for a handful of contracts, you could use limit orders. It doesn't look a major issue for hundreds of contracts either ;)

Here is a Depth of Market snapshot taken at 18:36 tonight which is far from a busy time.
 

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