NDFs: how algos can make sense of the fragments
The scattering of liquidity in non-deliverable forwards calls for new execution tools, argue HSBC execs
The market for non-deliverable forwards is becoming more complex and fragmented, much like spot FX. Trading activity in NDFs is now split across multiple venues, leading participants to seek new ways to optimise execution.
Less than a year ago, a single exchange provided firm prices both on and off swap execution facilities. The liquidity was easy to navigate, with credit being the sole differentiator between dealers. Today, there are multiple pools of liquidity offering a combination of both
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