Spread median, mean, and the number that matters

[Fairman]

Spread median, mean, and the number that matters

Broker spread tables show an average. Averages hide the shape.

Imagine a pair that sits at 0.3 pips for most of the day and spikes to 6 pips for two minutes each night. The average might read 0.5. The median reads 0.3. The tail, the maximum, reads 6. A scalper trading in the quiet hours cares about the median. A scalper who happens to trade at rollover cares about the tail.

When comparing brokers, comparing averages is the weakest option. Better to compare the median and the 95th percentile of spreads at the specific hours traded. The percentile tells how bad it gets on a bad day, which matters more than how good it gets on a good one.

Tick history recorded from the platform with a simple script is enough. The statistic takes a few lines to compute, and the result usually reorders the broker ranking compared with the marketing.

One more detail: spread at the moment of entry is what counts, not the spread across the day. A strategy that enters on volatility will systematically see wider spreads than the average suggests.

Which percentile of the spread distribution should a scalper treat as the real cost, the median or something higher?