News Event Analysis

News events are a useful tool for understanding how your pricing holds up against your LPs through periods of high volatility and volume. They can be used expedited way of finding periods of increased expected volatility and market movement

Echo records news events, their weightings and impacted instruments, allowing you to analyse how your business performed around the time.

These are accessed under the market data tab in Echo:

The higher the weighting the more important the news event, these are automatically updated from fxstreet.com/economic-calendar

Clicking on an affected pair gives you the options to view the Top-of-Book, Spread, Spread Histogram and various filtered Yield Profiles

top-of-book

Selecting Top-of-Book will display a tick chart of your pricing models and LPs top-of-book pricing for 30s either side of an event.

This is a useful tool for analysing the performance of your LPs through the event:

• Who was most predictive/fastest through the move?

• Who widened out?

• Who stayed tight

• Did any LPs drop out entirely?

Spread charts and histograms

These are another good visual tool for understanding exactly how wide your LPs were in comparison to the rest of the market.

The spread chart displays each LPs published spread on a tick-by-tick basis for the 30s period either side of the news event:

Spread Histograms on the other hand detail exactly how long each LP spent at the published spread for the minute period around the move:

Yield profiles

Yield Profiles for all trades placed in the 30s either side of a news event can also be accessed easily from here, the pop-out gives the following quick access options:

• For all client trades - shows the individual trades filtered by the affected instrument for all books/channels where trading was active at the time

• For client trades grouped by counterparty - all trades for the instrument grouped into the counteparties that placed the trade

• Opportunity lost through rejects - shows any trades that were cancelled through the event for the selected instrument

• For all external trades - individual trades that were placed externally (either brokered or hedged)

• For external trades grouped by party - the external trades grouped by the party that externalised (washbook where brokered and the hedging models where hedged)