Measuring Broker Spreads by Time with ATR Context and Alerts
Summary
This document describes a MetaTrader utility for monitoring spreads with one sample taken each second. That time-based sampling gives each second equal weight, unlike tick averages that can underrepresent quiet periods when spreads may widen. The panel reports spread in broker points, price difference, and a symbol-specific unit, alongside rolling and server-day statistics. It also compares the current spread with ATR from the last closed bar to show its size relative to recent market movement.
Users can set an absolute spread threshold and require it to persist before an alert, with a cooldown to limit repeated notifications. Optional CSV logging records spread and market fields at configurable intervals. The document explains that snapshots can miss moves shorter than a second, session boundaries follow broker server time, and symbol-unit detection depends on broker settings. It offers no performance study; the tool measures trading costs and conditions rather than generating signals.
Key ideas
- Sampling once per second weights quiet and active periods equally in spread averages.
- Rolling and server-day statistics describe how spreads vary over different time windows.
- Comparing spread with ATR puts the trading cost in the context of recent price movement.
- Absolute thresholds, hold times, and cooldowns help limit noisy alerts.
- Snapshot sampling can miss sub-second spread spikes.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.