In this study, we examine the impacts of macroeconomic announcements and order flow on exchange rates. This study uses the tick-by-tick and minutely data from electronic brokerage services, including EUR/USD and USD/JPY from January 2007 to December 2007. The empirical results show that order flow has an influence on exchange rates. Moreover, macroeconomic announcements have an impact on the EUR/USD and USD/JPY market which is transmitted directly via immediate reactions and indirectly via order flow. Therefore, order flow contains not only public information but also private information. In addition, order flow and exchange rates have a feedback relationship with each other.