Bid and ask do not always update together
Posted: Sat Oct 31, 2026 6:40 pm
On many feeds, a quote update can change only the bid or only the ask. The two sides come from the best prices among different providers, and each side moves when a provider updates that side.
In calm periods, updates are nearly simultaneous. During fast moves, one side may lead by a few milliseconds. For a moment, the spread looks unusually tight or wide because only half of the quote has caught up.
Scalpers who check the spread at the instant of an update can mistake these transient states for real conditions. A momentary tight spread invites an entry that fills at the next update, when the spread has normalized.
The cleanest approach is smoothing: use the median spread over the last few updates, not just the latest tick, for filters. For analysis, note which side updated and test whether the leading side predicts the direction of the following mid price change.
Treat single-tick spreads with suspicion, since they can be artifacts of update timing.
How often does only one side of the quote change between consecutive ticks on the feed in use?
In calm periods, updates are nearly simultaneous. During fast moves, one side may lead by a few milliseconds. For a moment, the spread looks unusually tight or wide because only half of the quote has caught up.
Scalpers who check the spread at the instant of an update can mistake these transient states for real conditions. A momentary tight spread invites an entry that fills at the next update, when the spread has normalized.
The cleanest approach is smoothing: use the median spread over the last few updates, not just the latest tick, for filters. For analysis, note which side updated and test whether the leading side predicts the direction of the following mid price change.
Treat single-tick spreads with suspicion, since they can be artifacts of update timing.
How often does only one side of the quote change between consecutive ticks on the feed in use?