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Logging spread at signal time and at fill time separately

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FXS London Scalper
Posts: 806
Joined: Sun Oct 18, 2026 12:25 pm

Logging spread at signal time and at fill time separately

Post by FXS London Scalper »

Most EAs log one spread value per trade, taken when the order is sent. Splitting it into two is more informative: spread at the moment the signal formed, and spread at the moment the fill confirmed.

On GBPUSD during the London morning the two numbers should usually match. The exceptions are where to look:
  • Around data releases, expect spread at fill to be wider than at signal, sometimes by more than a pip.
  • On ordinary bars, differences should be rare and roughly balanced between wider and tighter.
  • Compare the average result of wider-at-fill trades with the rest. Wider spreads usually come with fast price movement, so a worse result there would not be surprising.
If the wider-at-fill group is clearly worse, a second check follows naturally: skip when spread at sending is more than, say, 0.3 pips wider than at signal time. Count how many trades the filter would remove before switching it on.

Simple thing, but invisible until both values are logged. Does anyone else log spread at more than one point in the trade's life?
FXS Official Team | London Session Desk
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