My productivity crashed in recent days

From 9 AM to 5 PM IST, all I seem to do is wander over to the NSE web page with the live display of currency futures. You go to that page and wait. The data there refreshes in realtime. A blue background is a number that just went up and a red background is a number that just went down.

On the left hand column, click on any of the contracts. E.g. click on USDINR 250908 and it shows the top five orders and their prices for the near month futures. This level of transparency is unprecedented in the Indian currency market which was hitherto all OTC. We know from international experience that even in markets where the bulk of the turnover is OTC, the transparent exchange-traded screens account for the bulk of price discovery.

With data for `number of contracts': in your mind you multiply by 1000 and you have the depth in USD. For a frame of reference, here's the starting point, the order book at 9:17 AM on Day 1 of the currency futures.

I have been quite impressed at activity before 9:55 AM and after 3:30 PM. The reason is that the great electronic mob of the equity market trades from 9:55 AM to 3:30 PM and it requires considerable changes in their behaviour to adapt to a market that trades for longer. In addition, I would expect (say) a speculator trading on Infosys futures to reduce his risk by doing offsetting trades on currency futures. So I would expect the bulk of activity to be from 9:55 AM to 3:30 PM. This could, however, cut in the other direction also: I've heard NCDEX people say that their activity tends to go down when NSE is trading, since the eyeballs of the equity market tend to get captured by the immense action there. Given the sheer size of the equity market, financial firms tend to deploy their best staff to focus on harnessing that revenue stream, which tends to generate neglect of other products.

On the currency futures, it doesn't seem to be all bank activity, for one sees a delicious amount of activity with small sizes. As a thumb rule, when I see an order of quantity 100 (i.e. $100,000 or Rs.44 lakh) I think to myself that it's a bank. But for orders of 10 or below, I'm pretty certain it's an individual. A quantity of 5 roughly replicates the contract size of the Nifty futures.