What Millisecond Market Data Reveals About FX and Crypto Markets | LMAX × Macro Hive

This discussion brings together LMAX Group and Macro Hive to review insights from their joint research series based on high-frequency market data. The session introduces the LMAX Exchange infrastructure and its data environment, including firm liquidity, executable pricing and millisecond-level order book data across matching engines in London, New York, Tokyo and Singapore. The conversation then outlines how this data has been analysed in partnership with Macro Hive to study market behaviour around major economic events. Arun Sundaram, Head of Commercial Data & Analytics at LMAX Group, speaks with Bilal Hafeez, CEO and Head of Research at Macro Hive, and Sam Van de Schootbrugge, Quantitative Macro Strategist at Macro Hive, about the findings from four research reports produced over the past year. Topics include the growing role of data-driven investment processes, macro themes influencing markets, and how high-frequency analysis can reveal market dynamics that are not visible in lower-resolution datasets. The fourth report focuses on comparing liquidity and price discovery across LMAX data centres in London and Tokyo during major Japanese macroeconomic events. The analysis examines reaction times, correlations between venues and the role of local liquidity in execution costs. The discussion also revisits earlier reports covering: - Millisecond reactions to macroeconomic announcements - Price discovery and liquidity dynamics in cryptocurrency markets - The role of institutional and professional flow data in predicting market behaviour The session concludes with observations on the infrastructure required to work with large high-frequency datasets, including the use of cloud environments for backtesting, modelling and large-scale data analysis.