EBS Datafeed Question

[Soultrader 12]

Just recently learned about EBS. Using CQG, I am able to receive EBS datafeed for currencies. When comparing charts I see that EBS charts are alot more smoother with less noise. In combination with tick volume, I am able to read volume for EBS data.

 

Do most traders here have accesss to EBS data? I understand EBS is not available to everyone? If so, why not? Why would anyone trade Foreign Exchange without EBS datafeed when there is clearly an advantage for those have access to it? Thanks

 

Chart below shows side by side comparison.

 

[mister ed 10]

James, EBS are actual dealt prices whereas what other charting packages (especially the retail ones) rely on for FX prices are indicative rates provided by interbank dealers. The indicative prices have a lot more variability than the EBS dealt prices, and the indicative rates may very well never actually deal in the market. What this manifests itself on the chart as is more noisy bars, each half-hour bar on the charts you show have a greater range using the indicative prices than using the actual dealt EBS prices, but the extreme prices may very well never have dealt. I didn't know there was any way of getting EBS price feed outside of working in an institution, thanks for the heads-up on CQG.

 

A caveat with EBS prices. The EBS is only one channel through which FX can be dealt. There are 'voice' brokers matching deals between banks, for considerable amounts, as well as banks dealing direct with each other without any broker intervention, in sometimes even greater amounts. Thus the price and volume figures for EBS are, again, only a guide to the whole of the FX market. Having said that, I believe they are a very reliable guide, in terms of sample size, and the best there is. I am not sure of the sort of % of the whole FX business that flows through EBS, but it is substantial. Also, some currencies are a lot more active on EBS than other currencies and thus those more active currencies will have better representative data.

 

I know there are a few participants on the forum who work on the banking side of the FX business, be interested to hear what they have to say on your questions. They may perhaps be able to correct any errors in my information, and broaden on what I have said.

[smwinc 20]

James,

 

Myself and a few others in the office use CQG also.

 

Why don't more people use EBS data? I have no idea. I don't know of any other data providers other than CQG who provide it.

 

As far as the spot FX market, mister Ed is correct - EBS can't show 'all' volume for a particular pair, as it's only showing liquidity available through its network.

 

In the spot market, the problem is no one really cares about 'total liquidity', it's 'accessible liquidity' that counts. There is huge numbers thrown around about how much volume is done everyday, but if it's spread across a multitude of networks - OTC, EBS, Reuters D2, etc - it's unlikely anyone is really able to 'access' it for large trades.

 

EBS are the leading network for FX. Previously Reuters D2 were effectively running a monopoly.

 

As you'd understand, certain types of analysis run into real logical flaws with FX - VSA for example.

 

EBS data alone should be sufficient. Depending on what you trade, you might want to get hold of Reuters D2 also.

 

This is starting to become outdated, however the link shows which broker is doing majority of the volume for each currency pair:

 

http://www.londonfx.co.uk/autobrok.html

[Soultrader 12]

Thank you smwinc,

 

Quick question regarding tick volume for EBS data. Does this represent the actualy number of transactions within amongst the banks or is it simply showing the number of times price changes amongst the EBS banks?

[smwinc 20]

Thank you smwinc,

 

Quick question regarding tick volume for EBS data. Does this represent the actually number of transactions within amongst the banks or is it simply showing the number of times price changes amongst the EBS banks?

 

99% sure it's price changes. I've contacted ICAP (EBS) though to clarify. I'll let you know their response. They publish average volumes monthly, but it's borderline useless as far as trading.

 

Cheers

[smwinc 20]

Aight James, sorry with the slow reply man, been busy as a one legged man in an arse-kicking contest.

 

Spoke to rep from ICAP (EBS) - data is price changes only.

 

You can get the actual volume, but you need to be trading through them. Not really a viable option.

 

In my opinion, the better setup is CQG & Reuters 3000 Xtra.

 

I spoke to my "trainer" from Reuters on setting up a few things - they really do have sweet features.

 

Do you still use Reuters?

 

For trading FX, my setup now is:

 

- screens for CQG

- screen for Trading Technologies (i.e. your order execution ladders)

- screen for Reuters:

--> Reuters screen for your fundamentals/news & spot/forward/etc pairs. Real-time & historical volume, T&S with counter-parties, etc.

[Soultrader 12]

Thank you very much smwinc. I know a few institutions that trade through EBS.... Ive seen the buy/sell execution EBS keyboards. Not an option for me either.

 

I used to use Reuters... I believe it was the Kobra version. I did like the PowerPlusPro feature but found the charting to be unbelievably horrible. I never used such an inferior product in my life... primarily because I only use charts and was trading futures while using Reuters.

 

I use CQG and IRT at the moment. CQG for charts and backtesting and IRT for market profile (also charts). CQG has one of the worst market profile packages.

 

Went to the Tokyo Grain Exchange the other day and browsed around different execution vendors. How is TT? I chatted with a few vendors including Platz, TT, Reuters, and GL.

 

Thanks again for the info.

[smwinc 20]

Thank you very much smwinc. I know a few institutions that trade through EBS.... Ive seen the buy/sell execution EBS keyboards. Not an option for me either.

 

I used to use Reuters... I believe it was the Kobra version. I did like the PowerPlusPro feature but found the charting to be unbelievably horrible. I never used such an inferior product in my life... primarily because I only use charts and was trading futures while using Reuters.

 

I use CQG and IRT at the moment. CQG for charts and backtesting and IRT for market profile (also charts). CQG has one of the worst market profile packages.

 

Went to the Tokyo Grain Exchange the other day and browsed around different execution vendors. How is TT? I chatted with a few vendors including Platz, TT, Reuters, and GL.

 

Thanks again for the info.

 

Reuters (finally) ditched their charting, and now include Metastock as standard for all charts. However I completely agree with you, I only use the chart feature in the most basic sense, like looking at past economic indicator data, etc.

 

Yes - CQG Market Profile is actually surprisingly poor.

 

I have traded with Pats & Ecco, Bloomberg, Reuters and Retail brokers. I have not heard of Platz or GL? Without question, for us prop traders, TT is the best, by far. It's like comparing an electronic trader to a phone broker and asking who is going to be faster. There is no substitute. I would rather trade with no charts and no chair, than not use TT to execute through

 

Downside: They have been slow to add in Asian markets. Hang Seng is only new, JGB is new, etc. Singapore/Taiwan wasn't that long ago either.

 

Also, cost does creep up on you, quickly. Its a one of fee per extra exchange AND additional monthly fee for each exchange. Reuters + CQG + TT means its an achievement breaking even these days :o

[mister ed 10]

Spoke to rep from ICAP (EBS) - data is price changes only.

 

You can get the actual volume, but you need to be trading through them. Not really a viable option.

 

Thanks for clarifying that smwinc.

[liu5115 10]

Smwinc, are you able to get realtime tick volume from reuters?

 

Aight James, sorry with the slow reply man, been busy as a one legged man in an arse-kicking contest.

 

Spoke to rep from ICAP (EBS) - data is price changes only.

 

You can get the actual volume, but you need to be trading through them. Not really a viable option.

 

In my opinion, the better setup is CQG & Reuters 3000 Xtra.

 

I spoke to my "trainer" from Reuters on setting up a few things - they really do have sweet features.

 

Do you still use Reuters?

 

For trading FX, my setup now is:

 

- screens for CQG

- screen for Trading Technologies (i.e. your order execution ladders)

- screen for Reuters:

--> Reuters screen for your fundamentals/news & spot/forward/etc pairs. Real-time & historical volume, T&S with counter-parties, etc.

[liu5115 10]

Just talked to CQG, not suprisingly, EBS is only feeded to interbank and will not provided to private traders...

 

Just recently learned about EBS. Using CQG, I am able to receive EBS datafeed for currencies. When comparing charts I see that EBS charts are alot more smoother with less noise. In combination with tick volume, I am able to read volume for EBS data.

 

Do most traders here have accesss to EBS data? I understand EBS is not available to everyone? If so, why not? Why would anyone trade Foreign Exchange without EBS datafeed when there is clearly an advantage for those have access to it? Thanks

 

Chart below shows side by side comparison.

 

[Soultrader 12]

Interesting... I was not aware of that. I guess what you could do is setup a LLC for a few hundred dollars and then subscribe to CQG as a professional?

[liu5115 10]

Interesting... I was not aware of that. I guess what you could do is setup a LLC for a few hundred dollars and then subscribe to CQG as a professional?

 

no...you need EBS authorization. EBS will only release to interbank who are connected to their trading system

[sneo 10]

you could set up a firm, then use one of the banks that are on EBS network as the counterparty to all your trades. Its called Prime on Prime service. Then you can have EBS on your end with trades subject to your credit limits.

[liu5115 10]

you could set up a firm, then use one of the banks that are on EBS network as the counterparty to all your trades. Its called Prime on Prime service. Then you can have EBS on your end with trades subject to your credit limits.

 

really? I didnt know that. so would most of prime brokers provide that kind of service? this is of huge value.

[liu5115 10]

just checked with EBS, it's a service they provide. Didnt know that!! thanks sneo

[sneo 10]

no problem, their chaps came to my office months ago and i presented a similar problem. They gave me this solution and is cleaner in terms of operations as you will only need to deal with one counterparty where your funds are.

[jf2000 10]

Aight James, sorry with the slow reply man, been busy as a one legged man in an arse-kicking contest.

 

Spoke to rep from ICAP (EBS) - data is price changes only.

 

You can get the actual volume, but you need to be trading through them. Not really a viable option.

 

In my opinion, the better setup is CQG & Reuters 3000 Xtra.

 

I spoke to my "trainer" from Reuters on setting up a few things - they really do have sweet features.

 

Do you still use Reuters?

 

For trading FX, my setup now is:

 

- screens for CQG

- screen for Trading Technologies (i.e. your order execution ladders)

- screen for Reuters:

--> Reuters screen for your fundamentals/news & spot/forward/etc pairs. Real-time & historical volume, T&S with counter-parties, etc.

 

Hello I am new to the forum. How are you using TT to execute spot FX? I am currently using TT for commodities, and would love to use it to execute my spot FX trades. Who are you clearing with?

Edited March 19, 2009 by jf2000

[Flojomojo 10]

Hi James,

 

when I look at the two tick volume comparisons I get the visual impression that they almost perfectly correlate with each other. This of course needs to be checked mathematically. But if this is the case there might not be any additional information advantage.

 

Could you post a comparison chart of a lower timeframe? When observing the chart I want to see what it looks like when EBS has a bar with 750 ticks and the ECN bar has 20000 ticks...thats quite some difference! Is this large number only due to small bid/ask bounce around the spread or are there larger deviations from the EBS quote?

 

The first question that comes to my mind when seeing such a large tick difference is:

If EBS can be used as a leading indicator...can arbitrage opportunities be identified in the ECN market? (The simplest form: If ECN drifts above EBS value, short in ECN / If ECN drifts below EBS value, go long at the ECN)

 

Regards,

Flojo

 

Just recently learned about EBS. Using CQG, I am able to receive EBS datafeed for currencies. When comparing charts I see that EBS charts are alot more smoother with less noise. In combination with tick volume, I am able to read volume for EBS data.

 

Do most traders here have accesss to EBS data? I understand EBS is not available to everyone? If so, why not? Why would anyone trade Foreign Exchange without EBS datafeed when there is clearly an advantage for those have access to it? Thanks

 

Chart below shows side by side comparison.

 

[Soultrader 12]

Hi James,

 

when I look at the two tick volume comparisons I get the visual impression that they almost perfectly correlate with each other. This of course needs to be checked mathematically. But if this is the case there might not be any additional information advantage.

 

Could you post a comparison chart of a lower timeframe? When observing the chart I want to see what it looks like when EBS has a bar with 750 ticks and the ECN bar has 20000 ticks...thats quite some difference! Is this large number only due to small bid/ask bounce around the spread or are there larger deviations from the EBS quote?

 

The first question that comes to my mind when seeing such a large tick difference is:

If EBS can be used as a leading indicator...can arbitrage opportunities be identified in the ECN market? (The simplest form: If ECN drifts above EBS value, short in ECN / If ECN drifts below EBS value, go long at the ECN)

 

Hi Flojo,

 

Perhaps you can help me understand better the question. Im not familiar with ECN in Forex. My assumption is comparing for example EBS vs Tullet FX? A bit unclear with the question..

 

Attached are two charts. First chart on top is 20,000 tick chart USD/JPY from Tullet. Second chart on bottom is a 750 tick chart from EBS. Unfortunately CQG can not display a volume histogram when using tick charts (or constant volume charts).

 

[Flojomojo 10]

Hi James,

 

I have attached a picture of what I mean. The main idea is that there might be arbitrage opportunities between platforms that are available to institutional investors and the ones available for retail investors.

As I said it is only an idea and I have no clue whether this is the case since I don't have access to institutional data.

 

Best regards and happy easter,

Flojo

[BlowFish 10]

Most of the 'retail platforms' are MT4 connected to a bookie. Retail 'traders' are just taking bets with a bookie. A bookie that can manipulate the prices in a variety of ways. You will find it hard to get bets on in a timely fashion. As the bookie is the counter party, should you find a way of exploiting these short term fluctuations they will simply not take your bets any more (close your account). Or they may just flag you refer to dealer in which case you will be filled 20 seconds later if price has moved against you (at your original price) or re quoted a worse price outside the market if things are moving in your favour.

 

There are a couple (only a couple) of notable exceptions, broker that provide retail traders access to real interbank liquidity. Of course as the banks are connected to these networks you would be arbitraging against their(the banks) price discrepancies not retail traders.

 

Imvho you are driving up a cul de sac FJM.

[BigHedge 10]

no problem, their chaps came to my office months ago and i presented a similar problem. They gave me this solution and is cleaner in terms of operations as you will only need to deal with one counterparty where your funds are.

 

How do you do this/how much would this cost? What's the difference between this and an LLC?

[forexboom 10]

Just recently learned about EBS. Using CQG, I am able to receive EBS datafeed for currencies. When comparing charts I see that EBS charts are alot more smoother with less noise. In combination with tick volume, I am able to read volume for EBS data.

 

Do most traders here have accesss to EBS data? I understand EBS is not available to everyone? If so, why not? Why would anyone trade Foreign Exchange without EBS datafeed when there is clearly an advantage for those have access to it? Thanks

 

Chart below shows side by side comparison.

 

 

 

Hi,

 

I'm looking to subscribe to CQG, may you show me just for example the euro in 15min bar for the last friday (NFP) friday to see how was different from my actual broker (Oanda)?

 

Thank you!

 

forexboom