Data Trends for Investment Professionals


The best FX datasets on Quandl: volume, flow, swap and more

Over the years, we’ve scouted the forex landscape to bring you a world class portfolio of FX data products. Quandl’s FX data includes foreign exchange volume and flow by currency and participant type, swap and forward volume, rates and much more. Here are the most popular (and most essential) foreign exchange datasets on Quandl.

FX Alternative Data Bundle

Quandl’s most powerful FX data comes from the world’s largest multi-currency cash settlement system, settling more than 50% of FX transactions globally. Prior to their foundation, FX transaction data was widely dispersed and hard to aggregate. Our ability to source and present data products from the de facto industry standard provides a one-of-a-kind window into the world of FX. This set of alternative data products (5 in total) are as follows:

FX Flow

Knowing who is trading what is critical to understanding any market. This dataset tracks hourly FX flows by type of market participant and side of trade taken, for spot transactions in 33 major currency pairs. Participant categories include bank, corporate, fund, non-bank financial firm, buy-side and sell-side.

FX Swap and Forward Volume

Forward and Swap Volume gives market participants visibility into expected future settlement flows, based on already executed FX forward and swap trades. This gives traders and market-markers the ability to pre-position for future liquidity needs and the resulting price action. By presenting volume data on swaps and outright forwards, CLSFSV empowers you to optimize your market and counter-party positioning, your liquidity provision and usage, and your transaction costs.

FX Volume

Research suggests that real-time volume data has clear predictive power for the FX market, and can be used to build a profitable trading strategy. As such, this dataset allows you to assess and maneuver based on volume movements in the FX market.

See the FX volume data set in action, augmenting a well-known FX trading strategy: Bollinger band breakout.

FX Volume Forecasts

We’ve built FX Volume Forecasts for 8 currency pairs by applying algorithmic and machine learning techniques to a wide range of input data including historical volumes, economic events, holiday calendars, market impact scores and other measures.

FX Prices

The FX market is predominantly over-the-counter (OTC), coordinated through dealers acting as market makers and negotiating directly with brokers and customers. As such, it is fragmented and opaque, with no single centralized exchange. An accurate, comprehensive and timely view of global FX transactions is difficult to obtain. Without such a view, most estimates of volume and time weighted prices are limited in their accuracy.

The FX Prices dataset leverages our partner’s position as the world’s largest FX settlements service to create a uniquely accurate set of VWAP and TWAP measures for the FX market.

Explore Quandl’s most powerful FX data bundle

EDI Foreign Exchange Rates

Another premium foreign exchange database on Quandl is our Global Foreign Exchange Rates (CUR) data product, provided by vendor Exchange Data International. This database is truly professional-grade with synchronized FX rates for 170+ currencies with USD as the base currency. Rates are aggregated from major FX dealers and investment banks at precisely 18:00 GMT and available on Quandl by 20:00 GMT the same day, making the data consistent as well as high-quality.

Over its life with Quandl, this data has been used by major financial institutions for daily mark to market procedures. Additionally, the synchronized nature of the quotes means the data is reliable for accurate back testing. We highly recommend this product if you need currency data for professional purposes. You can view the data here.

FXCM Foreign Exchange Rates

Finally, a second set of foreign exchange rate data products that offer a window into rates in the retail and institutional segments of the FX market. FXCM Group, a global online provider of foreign exchange trading and related services, offers both daily and hourly data via Quandl. FXCM’s clients benefit from its large network of forex liquidity providers, enabling FXCM to offer competitive spreads on major currency pairs.

FXCM Hourly Rates

The FXCM Hourly FX Rates (FXH1) data feed contains bid and ask rates of 40 currency pairs traded on the FX market by the FXCM Group. The data is aggregated hourly and delivered daily. View FXH data here.

FXCM Daily Rates

The FXCM Daily FX Rates (FXD1) data feed contains daily aggregated bid and ask rates for 40 currency pairs traded on the FX market by the FXCM Group. Historical data from January 2000 is included. View FXD data here.

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