Quoted spread, Realized spread, Effective spread & Best ask & bid size

Indicators for assessing the instantaneous liquidity of an instrument.

Indicators appearance.

Model description

Quoted spread is the difference between the ask price and the bid price shown in the quotes. It is a popular spread metric that helps assess market liquidity.

Realized spread is a spread calculated from the actual price at which a trade is executed. As a rule, it differs from the quoted spread. In other words, the realized spread accounts for the slippage of a market order.

Effective spread is a spread measure that accounts for all trading costs, including fees, slippage and other off-exchange costs. The effective spread gives a more accurate picture of the real cost of a trade.

All spreads in SpreadFighter are normalized relative to 0 and brought to a scale by the following formula:

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

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

Best ask & bid size shows the size of the best ask and bid order in the limit order book, respectively.

Model tests

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Use cases

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