Measuring Intraday Spread Costs from Broker Tick History
Summary
The document describes an indicator that groups broker tick quotes by server hour over a configurable history window. It reports median and 90th-percentile spreads, with optional mean and maximum statistics, and can compare the spread with a user-entered stop size. A time-weighted sampling mode is also available. The live spread and current hour are displayed alongside the hourly profile, and statistics can be exported as CSV.
Examples from a demo account show wider spreads around the daily rollover for EURUSD and GBPUSD, while XAUUSD has equal medians across hours with data and a daily break without ticks. The method helps traders identify hours when spread costs may consume a large share of a stop or expected move. Its estimates depend on the broker’s tick history, account type, server time and the selected sampling mode; historical percentiles do not predict future spreads, and cross-pair currency costs use current tick values.
Key ideas
- Hourly tick distributions reveal spread patterns that bar history can hide.
- The median describes a typical spread, while the 90th percentile shows a wider but recurring condition.
- Comparing spread with stop size helps assess transaction costs relative to trade risk.
- Server time, broker history and account type affect the profile and its interpretation.
- Historical spread statistics do not guarantee future trading conditions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.