May 26th, 2008, 7:12 pm
i looked at some USDNOK trades, the price impact is drastically different from small size to mid to large size trades, varies much more than in USDEUR. I would like to come up with a good forecasting model for liquidity/t-cost of an fx trade as a function of the size. When i polled the brokers, all the quotes were upward sloping in size, none of them were exhibiting lower costs at higher sizes, so i am a bit perplexed. I would not assume that a broker will be interested in trading 1bn kiwi at the lower spread than 250mm, and my preliminary research supports that.Wonder if any bank/dealer would sell the fx-trade data, so at least i can get some kind of number to run analysis on.Thanks for the inputs.Ev