Skewed quotes: when the mid price is not where the market is
Posted: Sat Oct 31, 2026 6:40 pm
Liquidity providers sometimes skew their quotes, shifting both bid and ask in one direction to manage inventory or reflect expected flow. The mid price of such a quote sits away from the consensus value.
An aggregated feed blends several providers, which dilutes the effect, but occasionally a skewed quote becomes the best on one side, creating an odd-looking spread asymmetry relative to previous quotes.
For scalpers, this means that the mid is an imperfect fair value. Execution tends to favor the provider's skew: buying into a skewed ask costs more than the mid-based model suggests.
Evidence appears in fill analysis. If buys consistently fill worse than the model predicts in the same conditions in which sells fill better, the quotes may be skewed against one direction.
Comparisons with another feed help. If the mid price differs by a consistent amount for extended periods, one feed is skewed.
Test fill quality by direction, not just overall. Directional asymmetry in costs is a signal of how the broker's pricing works.
Do buys and sells show different average costs on the account in use?
An aggregated feed blends several providers, which dilutes the effect, but occasionally a skewed quote becomes the best on one side, creating an odd-looking spread asymmetry relative to previous quotes.
For scalpers, this means that the mid is an imperfect fair value. Execution tends to favor the provider's skew: buying into a skewed ask costs more than the mid-based model suggests.
Evidence appears in fill analysis. If buys consistently fill worse than the model predicts in the same conditions in which sells fill better, the quotes may be skewed against one direction.
Comparisons with another feed help. If the mid price differs by a consistent amount for extended periods, one feed is skewed.
Test fill quality by direction, not just overall. Directional asymmetry in costs is a signal of how the broker's pricing works.
Do buys and sells show different average costs on the account in use?