Negative spreads and crossed quotes
Posted: Sat Oct 31, 2026 8:41 pm
Every so often, the bid shows higher than the ask. The platform displays a negative spread for a moment, and anyone watching thinks it's free money.
It isn't. Aggregated feeds blend quotes from several providers. If one provider's bid is momentarily above another's offer, the blended top of book can cross. The arbitrage exists on paper, but by the time an order travels to the broker, the quote has been repaired.
Some brokers filter crossed quotes out entirely. Others pass them through and then reject the order, or fill it at a normalized price. A few honor them, and those are the ones that tend to dislike the clients who hunt for them.
Crossed quotes do carry a bit of information, though. They appear during fast markets, when providers update at different speeds. Frequent crosses mean the feed is under stress, and fills may be unreliable.
A log of the times they occur makes a decent stress indicator.
Ever seen a negative spread on a live platform, and did any order actually fill at it?
It isn't. Aggregated feeds blend quotes from several providers. If one provider's bid is momentarily above another's offer, the blended top of book can cross. The arbitrage exists on paper, but by the time an order travels to the broker, the quote has been repaired.
Some brokers filter crossed quotes out entirely. Others pass them through and then reject the order, or fill it at a normalized price. A few honor them, and those are the ones that tend to dislike the clients who hunt for them.
Crossed quotes do carry a bit of information, though. They appear during fast markets, when providers update at different speeds. Frequent crosses mean the feed is under stress, and fills may be unreliable.
A log of the times they occur makes a decent stress indicator.
Ever seen a negative spread on a live platform, and did any order actually fill at it?