Two feeds, two prices: comparing quotes across brokers

[Shadow Trader]

Open the same pair on two broker platforms side by side, and prices won't match. Differences of a few tenths of a pip are normal. Differences of one or two pips during fast moves are common.

Each broker builds its price from a blend of liquidity providers, then adds its own markup. The blend, the timing, and the filtering all vary. One may smooth out spikes, another may pass them straight through.

Lag shows up too. One feed might trail the other by 50 to 200 ms. In a quiet market, that's invisible. In a fast one, the leading feed's price is a preview of the other.

That's the root of latency arbitrage, and it's why some brokers have rules against it. But even without trying to exploit it, comparing feeds is a useful diagnostic. A feed that consistently lags is a feed that produces more stale fills.

A simple test: run both platforms for an hour around a data release, record timestamps of major price jumps, and look at who moved first.

How big was the delay the last time two feeds were compared side by side around a fast move?