Offshore speed, onshore depth: a new reality for FX liquidity
Stark differences emerge between onshore and offshore pricing during macroeconomic news events, finds LMAX Group’s head of data
In foreign exchange spot markets, speed has long been treated as a reliable guide to quality. Where prices adjust first is often assumed to be where execution should follow, but that assumption is becoming increasingly fragile.
Recent high-frequency analysis of Asia-centric macro events points to a growing separation between where prices move first and where liquidity ultimately lives. Offshore venues appear to reflect new information almost immediately, and ahead of their regional counterparts
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