Liquidity Term Structure

USD/CAD

Hourly liquidity profile

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• In the recent market conditions, the average liquidity for USD/CAD is highest around Sydney close. This is different to pre-COVID market conditions when the highest average liquidity is observed around London close and New York open.
• Liquidity in USD/CAD drops off sharply between 13:00 and 14:00 GMT (going into London close and New York open) in the recent market conditions, relative to pre-COVID market conditions.
• We also notice an immediate and sharp drop in recent liquidity after London fixing hour (between 17:00 and 18:00 GMT), relative to pre-COVID market conditions.
• Liquidity in USD/CAD also drops off sharply between 4:00 and 5:00 GMT (going into Sydney close) in the recent market conditions, relative to pre-COVID market conditions.
• The difference in the liquidity scores could have been influenced by a significant increase in market impact between 21:00 and 22:00 GMT and a large drop in percent gross volume between 22:00 and 23:00 GMT. The model factors are explained on the methodology page.
• In the recent period, the liquidity has generally improved, relative to the COVID peak period.