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The Foreign Exchange Matrix: A new framework for understanding currency movements by Barbara Rockefeller, Vicki Schmelzer

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Chapter 6 – Positions and Flows

“Card counting is illegal in this town.”

Las Vegas Rule

Unlike equities, commodities and new bond issues, we have no information about trading volume in the professional FX market. This is because each trade in the professional market is a private contract. As a proxy for volume, traders use the weekly data from the Commodities Futures Trading Commission (CFTC). In this chapter we’ll look at what exactly the CFTC data tells us about market positions and whether it is worth trading on.

The market can also gain an idea on volume by looking at positioning data from retail brokers, world central banks such as the Bank of Japan, or fund flow data from firms such as Emerging Portfolio Fund Research or HedgeFund.net ...

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