Variable spread setting

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Variable spread setting

Postby zinzol » Mon Oct 24, 2016 12:52 pm

Dear TS Team,

I am using TDS-TS variable spread testing, and it is ok during normal market behaviour. In strange or extreme market situations (like GBP flash crash was in the first week of this month), the spreads of different brokers for a critical currency-pairs can differ a lot. For instance, maximum EURGBP spread at Dukascopy was 35 pips, while it was 65 pips at Swissquote during GBP flash crash. So fix spread addition (as implemented now) is not a perfect solution in these situations, and my suggestion is to introduce a spread-threshold and a spread-multiplier which gives a variable spread values much closer to the real spreads in extreme situations. For instance, if the spread-threshold is 5 pips and the spread-multiplier is 2, then if the Dukascopy input spread was above 5, then the output spread would be doubled, as in the above example, the maximum spread would be (35x2=)70. I think this improvement would be very useful for those who are performing variable spread testing.

Thanks, Zoltan
zinzol
 
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Joined: Mon Oct 24, 2016 12:32 pm

Re: Variable spread setting

Postby tickstory » Thu Oct 27, 2016 7:44 am

Hi Zoltan,

Thanks very much for your suggestion. Are you saying that the spread would be also capped at a maximum or simply be subject to a threshold and a multiplier?

Regards.
tickstory
 
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Joined: Sun Jan 06, 2013 12:27 am


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