The best bid on the screen is a composite, and nobody is obliged to trade at it
Posted: Sat Oct 31, 2026 9:26 am
Retail platforms show one bid and one ask. Behind them is a stack of prices from different providers, combined by the broker's pricing engine. The displayed number is the best of the lot, or a blend, or a smoothed version.
Different aggregation methods produce different feeds. Taking the highest bid and lowest ask from all providers gives a very tight spread, but it can show prices that sit with one small provider and vanish when an order arrives. Weighted averages and filtered feeds give a more stable but slightly wider quote.
A feed that looks superb in calm conditions may disappoint when it matters. The displayed best price may belong to a provider with a small size limit, and a bigger order sweeps through to worse levels.
This explains why a spread can look excellent on a screenshot and yet fill poorly on a live order. What counts is the price at the size actually traded.
A broker's depth, where available, shows some of this. Another test is placing larger orders and measuring slippage per lot.
Has a very tight advertised spread ever turned out to be unfillable at real size?
Different aggregation methods produce different feeds. Taking the highest bid and lowest ask from all providers gives a very tight spread, but it can show prices that sit with one small provider and vanish when an order arrives. Weighted averages and filtered feeds give a more stable but slightly wider quote.
A feed that looks superb in calm conditions may disappoint when it matters. The displayed best price may belong to a provider with a small size limit, and a bigger order sweeps through to worse levels.
This explains why a spread can look excellent on a screenshot and yet fill poorly on a live order. What counts is the price at the size actually traded.
A broker's depth, where available, shows some of this. Another test is placing larger orders and measuring slippage per lot.
Has a very tight advertised spread ever turned out to be unfillable at real size?