forex data and parameters for search

[Puru Parthasarathy]

Hi,

Great to see a nice discussion group. I was wondering if any one has jbooktrader data on fx and is willing to share in exchange of future data sharing on my part?

More importantly I would like to know roughly what my scale parameters should be for a cash contract, I can see book balance around the same orsrr og magnitude as the price for EUR.

Any pointers?

[Eugene Kononov]

Hi Puru, and welcome to the JBT group.

As you probably know, the cash (spot) currency contracts do not have a centralized exchange, so the book data is rather segmented (i.e., it is broker-specific). IB does show the limit order book for the spot currencies, and you can use it with JBT, but that order book if formed by just a few participant dealers. The currency futures, on the other hand, do trade on the centralized exchange (CME in particular), so if your strategies revolve around analyzing the order flow and market micro-structure as implied by the limit order book, I would think that the currency futures would be better instruments than the spot currencies.

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[Puru Parthasarathy]

Got it, thanks. Unfortunately I might be limited to trade spot for conflict of interest reasons, will let you know if I have any success. My questions still remain for those who have tried spot forex, so any responses are appreciated.

[Eugene Kononov]

Hey Puru, I know this is off-topic, but I noticed that you work for SEC, so I was wondering if you have any insight into what kind of impact would the recently implemented Rule 575 might have on the dynamics of the market micro-structure. Thanks.

On Thu, Sep 25, 2014 at 12:22 PM, Puru Parthasarathy <p.parth...@gmail.com> wrote:

Got it, thanks. Unfortunately I might be limited to trade spot for conflict of interest reasons, will let you know if I have any success. My questions still remain for those who have tried spot forex, so any responses are appreciated.

[Puru Parthasarathy]

Hi Eugene

575 as I understand is a rule adopted by cme cbot nymex and comex under cftc's regime, so not directly related to sec rulemaking.
Generally we are not in a position to offer comments on such matters, as you can imagine.

[Eugene Kononov]

Right, I forgot that you guys do not regulate the futures markets.