What is the COUNT field parameter in get_timeseries for currencies? Or how do i get currency pair...

... volume?

I am searching for currency pair daily traded volume data via the python api. I use the cross rates from the MONEY CROSS/1 guide for all pairs of the currencies: ['AUD','CHF','CNY','EUR','GBP','HKD','INR','JPY','RUB','USD']

The get_timeseries function which i used so far to get currency price time series, does not return VOLUME. i discovered the parameter COUNT which can be inserted for fields. i thought it might be related. can i use it as an equivalent to traded volume (the absolute value does not matter only the proportion relative to other currency pairs must be correct)?

If not, how can i get daily volume, or even better average monthly volume for each currency pair via the python api?

thanks

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Alex Putkov.1

FX instruments such as spot and cross exchange rates are primarily traded over the counter. The quotes you see in FX RICs such as EUR= are indicative rates contributed to Thomson Reuters by market participants (primarily banks). These quotes do not represent actual transactions and that's why there's no volume associated with them. The field COUNT in the timeseries represents the number of quotes received within the time interval. It has nothing to do with traded volume, but in lieu of traded volume data it is the best indicator of the intensity of market activity you can find.

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Alex Putkov.1

dsornette

Hey Alex,

thanks for your reply. Ok, so what i would like to do now is to find the main (volume-based) trading partner currency for each of the main currencies listed above. I do this by pulling the COUNT-time series for all available currency pairs for each main currency. Then, i take the average over time, in order to get for each currency pair the average daily traded "volume" (AV). I select the currency pair with the highest AV for each main currency, as the "main partner", as listed in the table.

As you can see in the table, it turns out, that each of the currencies has as main partner GBP, which is surprising. I would have thought of EUR, USD in most cases. Do you think it is realistic? Probably, this is due to submission of many HFT orders in GBP?

Would there be any other way to get the real volume-based main trading partners for the bold currencies in the table?

Thank you

Best,

Alex Putkov.1

No, your conclusion is not realistic. You're right that for most currencies the main "trading partner" is USD. The main flaw I can see in your methodology is the RICs you used. "*=R" RICs for cross exchange rates such as "GBPAUD=R" are not contributed by market participants, but calculated by Thomson Reuters from the spot rates. Note that in your calculation GBPEUR and EURGBP pairs get the same number of updates, although only EURGBP is conventional and actively traded in the FX market. If the number of updates per day on "GBPAUD=R" is an indicator of anything, then it's an indicator of market activity in GBPUSD and AUDUSD currency pairs, not in GBPAUD. Even then it's not a good indicator because Thomson Reuters applies a level of throttling when calculating cross exchange rates. To gauge market activity in GBPAUD or another currency pair you need to use "*=" RICs, e.g. "GBPAUD=". These quotes are directly contributed to Thomson Reuters by market participants.

I'm not aware of any source that could provide actual traded volumes for currency pairs in the FX market. Maybe SWIFT has this data. I'm not sure. I certainly cannot think of any market data vendor that could supply this.

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