Why straddle orders before news usually fill both ways badly

[Amanhasnoname]

The idea sounds clean: a buy stop 10 pips above, a sell stop 10 pips below, and whichever side the news pushes becomes the trade. In practice the order book rarely cooperates.

What tends to happen is that spread widens and one side gets triggered by the quote alone. Price then whips back, hits the other side, and both positions close at their stops. Add 3 pips of slippage on each fill and a 4 pip spread, and the sum of friction can exceed the straddle distance itself. The move has to be large and one directional just to break even.

OCO orders sound like a fix, but cancelling the second order is not instant. If both sides trigger inside the same second or the platform is lagging, the cancel arrives too late. Support for it also varies by broker and platform, so check before relying on it.

A fair way to evaluate the idea is to look at history rather than argue about it. For 30 past releases, check on tick data how often price touched both sides of a 10 pip bracket before travelling 2 times that distance in one direction. Then repeat with wider brackets. The answer shows quickly whether the setup has any edge after friction.

Has anyone kept a straddle profitable across a proper tick-level sample, and how wide did the bracket have to be?