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Spread flicks without a price move

Occasionally the spread on a liquid pair jumps for a fraction of a second and returns, with no sign of movement in the mid-price. The display shows 0.2, then 2.5, then 0.2 again.

Possible explanations vary. A single liquidity provider might withdraw its quote briefly, leaving the best remaining quote further away. The aggregator displays the wider spread until the provider returns.

Another cause is a feed hiccup: a packet delay, a thread pause, a garbled update. The broker's system fills the gap with a conservative quote.

For scalpers, a flick is dangerous if an order arrives during it. A market order fills at the wide quote. A stop triggers on the spike.

Counting flicks per hour gives a quality measure of the feed. A feed with several flicks per minute on EURUSD in normal conditions is unreliable.

Some platforms let a maximum spread be set for orders, rejecting anything outside the limit. That feature protects against the worst of it.

Per hour, how many one-second spread flicks show up on a major pair on the broker's feed?

Sometimes the spread widens briefly without any change in the mid price. The bid drops and the ask rises at the same time, then both return to normal within a second or two. These spread flicks can happen when liquidity providers pull quotes momentarily, often around news, rollover or when the market is uncertain. For traders with pending orders or tight stops, a flick can trigger orders even though the market did not really move. Seeing these events on a tick chart helps explain fills that look odd on a standard candle chart.

On my feed I counted these over a full week by recording ticks to a file and flagging any quote where the spread went above five times its previous value and came back within two seconds. On EURUSD in London hours I found between three and six an hour, which surprised me, and in the Asian session it was closer to one or two. Around the top of the hour and just before news the count roughly doubled.

The part that mattered was how they affected my orders. Two stop-loss exits that I had put down to bad luck turned out to be filled at exactly such a flick, about 1.5 pips worse than the price I could see on the chart afterwards. That was the first time I could actually prove it to myself.

I now have a small check that refuses to send a market order if the current spread is over three times the median of the last minute, and it simply waits and retries a moment later. It has cost me a few entries and saved me several bad fills.