When does spread actually change?

Vonasi · Tue, 24 Jul 2018 09:01:59 +0000

I’m working on a bit of MTF code so that with a daily or weekly strategy trades can be taken when the spread is more favourable rather than at midnight – which for most US and EU markets is when the spread is at its largest. My question is that on this IG page times are shown for when the spread changes: https://www.ig.com/uk/help-and-support/spread-betting-and-cfds/fees-and-charges/what-are-igs-indices-spread-bet-product-details …but do they change exactly at the time shown? If I use the 1 Hour chart as my shortest time frame and open the trade at the open of the 0800 candle for example will I actually get the better spread or should I wait a bit? It is very difficult to eyeball on the markets at the times shown. Yes I could just switch down to a five minute or 1 minute chart but I would like to use the 1 hour chart or even four hour chart if it ties in with the earliest time to get the best spread so as I get more back test data. Has anybody seen any issues with their strategies when opening on the exact hour of the spread change? Does anyone ever see a delay in the spread change? I don’t really spend much time watching the markets at the opening as I am more of a daily/weekly trader so maybe the market open is not the best time to get in to the markets anyway – any intra-day traders got some advise on this?

This topic has 17 replies, 5 voices, and was last updated 4 years ago by Mike.

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08/07/2018 at 7:20 AM #77680

Nicolas

Spread should always be set/modified at first tick of the time schedule. Your tests are confirming this concept. Good job.

Nicolas
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08/07/2018 at 7:29 AM #77682

Vonasi

Nicolas wrote:

Spread should always be set/modified at first tick of the time schedule. Your tests are confirming this concept. Good job.

Unfortunately they also revealed some problems with trades actually opening when they shouldn’t and not opening when they should:

https://www.prorealcode.com/topic/trades-not-opening-at-set-time-and-strategy-stopped-but-still-running/#post-76958

….and then that progressed on to some difference between back tests and live trading:

https://www.prorealcode.com/topic/cumulating-orders/

Vonasi
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12/01/2019 at 3:07 PM #113996

Mike

Thanks for all that Vonasi.

By way of additional information, IG’s guaranteed stop levels go way up at times of high risk to them, eg, when a FED announcement is due and every Friday afternoon. The levels can jump from 10 on DJI to 550.

Mike
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