The GFMA’s Global Foreign Exchange Division (GFXD) would like to comment on behalf of its members on the processes within the market of referencing market high/lows, recognising too the guidance from the FX Global Code.

November 2017

The objective of the following is to promote transparency in how platforms and venues determine highs and lows, whilst recognizing that different highs and lows may exist in the market for the same currency pair and that the liquidity of currency pairs may change depending on the geographic region and time of day:

• Venues that provide market high/lows should provide disclosure and transparency into their determinations of highs and lows noting that there is limited support for high/lows which rely on indicative activity;
• Platforms may adopt individual mechanisms in calculating highs and lows which may result in different levels for the same currency pair;
• In order to promote transparency, good practice would be for i) platforms (when publishing high/lows) to update their highs and lows to exclude cancelled trades, and ii) venues to update their highs and lows to exclude cancelled trades to the extent notified of any such cancellations and/or provide notification explaining that the venue’s determination may include cancelled trades; and,
• When determining highs and lows, venues and platforms should rely on their prices from foreign exchange transactions during their standard trading hours for the relevant determination date.