Measuring Yearly Spread Distributions from Tick Data

Summary

This document describes an expert advisor that counts observed spreads in predefined ranges as market ticks arrive. It reports the counts separately for each year and prints the statistics to the trading platform’s journal when it stops, making the output available for review in the Strategy Tester.

The example shows a 2020 distribution, with most recorded observations in the lowest spread band and progressively fewer in several higher bands, though the counts are not strictly decreasing across every adjacent band. These figures illustrate how the collector summarizes a particular data set; they do not establish typical spreads or trading costs for other instruments, brokers, or periods. The document gives no details on tick coverage, spread units, data quality, or how the ranges are chosen, so comparisons require consistent settings and a clear understanding of the feed.

Key ideas

• The advisor bins observed tick spreads into predefined ranges.
• It reports the spread counts by year when its operation ends.
• The journal output can be reviewed in the Strategy Tester.
• The example is a single year’s distribution and does not establish spreads for other markets or data feeds.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.