Thin-hour wicks around the daily rollover

[Amanhasnoname]

Around the daily rollover, liquidity is at its lowest of the whole day. A pair spread of 0.6 pips can jump to 2.5 or more, and on minor crosses it can reach 6 to 10. Into that thin book, a modest market order can punch price 10 or 15 pips in a few seconds, and then it snaps back because nothing real was behind the move.

Those wicks matter because they hunt stops without needing any news at all. A scalp held through rollover with a 6 pip stop is a coin toss with a payout nobody asked for. The bid-ask spread alone can trigger a stop on the wrong side, even if the mid price barely moves.

Two sensible options exist. Flatten before the thin window, or hold with a stop placed outside the typical wick size. The second only works if "typical" has been measured rather than guessed.

Easy test: take the last 60 days of one-minute data for a pair and record the largest wick between ten minutes before and twenty minutes after rollover each day. Sort the list. The median and the 90th percentile show how wide a stop would have to be to survive, and the answer often looks too expensive to be worth holding.

What is the biggest wick you have seen at rollover on a pair you trade, and was one of your stops inside it?