The feed switch at the daily roll

[Fairman]

The feed switch at the daily roll

Around the daily rollover, some brokers change which liquidity sources feed their prices. Tokyo and Sydney liquidity providers become the main contributors, and the price stream is rebuilt from a different set of quotes.

The effect can be a small level shift, a pip or less, between the price just before rollover and the price just after, without any real market move. The feed simply changed its composition.

Charts show a tiny step. Indicators see a phantom move. A stop placed close to the market gets caught in a change that wasn't about price.

The step is typically larger on brokers with fewer providers, because a loss of one contributor changes the average more.

It also coincides with widening spreads, so the two effects blur together. A trader looking at the screen sees the spread jump and the price move at once and assumes the broker is doing something nasty. The cause may be as boring as a feed reconfiguration.

Comparing the price before and after the switch across several brokers shows how common the step is. Brokers with continuous feeds tend to show none.

Is there a visible step in the price at rollover on the platform here, or does it glide through?