Model description

Quoted spread is the difference between the offer price (ask) and the bid price (bid), which is specified in the quotes. It is a popular spread metric that allows estimating market liquidity.

Realized spread - a spread calculated on the basis of the actual price at which a transaction takes place and, as a rule, does not coincide with the quoted spread. In other words, the realized spread takes into account the slippage of the market bid.

Effective spread - a spread measure that takes into account all transaction costs, including commissions, slippage and other over-the-counter costs. The effective spread gives a more accurate picture of the real cost of a transaction.

All spreads in SpreadFighter are normalized relative to 0 and scaled using the following formula:

$$ Spread_{Norm}(t)= \dfrac{ask(t) - bid(t)}{Mark(t)})×100% $$

where $ask_{t}$ is the ask price of the bid at time $t$, $bid_{t}$ is the bid price of the bid at time $t$, $Mark_{t}$ is the mark price at time t

Best ask & bid size displays the size of the best ask & bid order in the limit order book respectively.

Model tests

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Coming soon...

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Application cases

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Coming soon...

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