Tiered spreads: the quote changes with the size of the order
Posted: Sat Oct 31, 2026 2:19 pm
Some brokers publish a single spread, but the price for larger orders is worse. The platform may show a tight number at the top of the book, which applies only up to a small amount, such as one or two lots. Beyond that, the order fills at deeper, wider levels.
For scalpers who scale up, this matters. A system that works at 0.5 lots can see its edge vanish at 5 lots because the effective spread doubles.
On retail platforms without depth display, the effect is invisible until trades are made. The signs are the realized round-trip cost rising with size and increased slippage on large tickets.
Test it by sending orders of different sizes in the same conditions and comparing the realized spread. Plot the cost curve. It often looks like a staircase, with a step at specific sizes.
Knowing the thresholds helps in structuring orders. Splitting a large order into smaller pieces executed over a few seconds can reduce the cost, though it adds timing risk.
Where does the cost step up on the account in use?
For scalpers who scale up, this matters. A system that works at 0.5 lots can see its edge vanish at 5 lots because the effective spread doubles.
On retail platforms without depth display, the effect is invisible until trades are made. The signs are the realized round-trip cost rising with size and increased slippage on large tickets.
Test it by sending orders of different sizes in the same conditions and comparing the realized spread. Plot the cost curve. It often looks like a staircase, with a step at specific sizes.
Knowing the thresholds helps in structuring orders. Splitting a large order into smaller pieces executed over a few seconds can reduce the cost, though it adds timing risk.
Where does the cost step up on the account in use?