The video below shows how to export a Phoenix FD cache to an Alembic file.
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Set Phoenix FD Simulator → Rendering roll-out → Mesh sub-roll-out → Mesh Type: Maya Mesh (not suitable for Ocean).
Double-check to make sure the Velocity Color Set field at the bottom of the Mesh roll-out is set to velocity.
Select the liquid mesh and go to Cache → Alembic Cache → Export Selection to Alembic (option box).
From the Alembic Export Options dialog, make sure Write Color Sets is enabled under the Advanced Options roll-out.
This video shows how to set the output format to OpenVDB and import the cached simulation inside of a V-Ray Volume Grid.
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Click the Phoenix FD Simulator → Output roll-out → '...' button next to the Simulation Save Path option.
Select Browse and navigate to a preferred folder. Set the File Name option and choose OpenVDB Cache from the Files of Type drop-down.
Start the simulation as usual. The output cache files are now OpenVDB instead of AUR.