It seems like despite FX spot being one of the most liquid asset classes, when it comes to NDF, data is really not easy to come by. For valuation teams, risk managers and traders alike, NDF data that is currently available is often difficult to work with, either because they are indications only from IDB, or else are non tradeable or non-traded data. 

At PriceVault we have spent the last few months working on NDFs, and using real time reported data am excited to announce that we are working with clients to provide them with NDF tick data with both price and volume.

We are also currently working on a beta version which will let clients know if a trade was aggressive or passive - please reach out to us if you would like to find out more.

Below is a chart showing a small selection of the data that we have - USDKRW NDF, IMM date expiries only, with NDF tenors going from 7 days to 365 days, printed trades only. We can also provide the volumes traded at each price! 

We are excited about this new data service available to our clients - contact us if you want to have API access at info@pricevault.io