24th June 2016 saw one of the highest days of volatility coupled with illiquidity ever seen. I happened to be logging tick data when it occurred. This post shows the spread across 3 brokers servicing different clientele and with different liquidity providers.
To put things into perspective, the typical spread for GBPUSD is around 1 pip. Or about 0.7 basis points with GBPUSD averaging 1.35500 in 2016. To see a spread as high as 78 pips or 54.6 basis points, is simply insane.
Post-event, I spoke to a friend at a major FX aggregator and he shared that even EBS pulled their prices to them, something that’s never happened.
Another useful point to note is that FX data provided by brokers, data providers, etc.. will not show these data points in their historical data sets. They only show (1) a huge drop/gap in the price, (2) only show the Bid price, (3) prices as a discrete time series with the lowest resolution of 1 minute, (4) and outright missing up to 20 minutes of data [as there’s simply no market maker]. Be cognisant about it when you run your backtests.
Quite a phenomenal past Friday (24th June 2016)…
Below are charted spreads on 3 brokers with different profiles.
1. Saxo (institutional)
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