Spread
The spread is the gap between the best buy price and the best sell price at a moment. A taker that crosses it gives up part of it. AurexionLabs charges that cost on every taker fill when Slippage is set to Measured spread, which is the default.
What a fill pays
A taker fill pays the measured spread times the Spread multiple. The multiple is 0.5, the half spread from the middle to the far side, so a round trip pays the full spread. When a bar has no measured spread, the fill pays a fixed slippage in ticks instead, 1 tick in a backtest.
- In the Backtester, Measured spread always uses 0.5 and there is no field for it. Choose it under Settings, Fills and fees, Slippage.
- In Paper, Settings has a Spread multiple field, where 1.0 charges the full spread on each fill. It also has Extra ticks, an additive allowance charged on every taker fill on top of the spread.
Where the spread comes from
- 1s data. The fill uses the spread measured on the bar it happens in.
- 1m data. The fill uses the minute's count-weighted mean spread, not the spread of the second in which it happened.
- Tick data. The spread is an estimate from the bounce of trade prices between buyers and sellers: an exponentially weighted average of the price gap between consecutive prints from opposite sides, weighted 0.05 per new bounce. It is not a quoted book spread. Until the first bounce the fixed slippage applies.
- Paper. A paper instance trades on the quoted spread from the live order book. If the quote is withdrawn, because a touch was deleted, the book crossed or a sequence gap occurred, it falls back to the tick estimate and then to the fixed ticks. A backtest never has a quote.
Paper and backtest therefore differ in the feed and in the source of the spread. Live fills are the exchange's.
What it does to a result
Only takers pay the spread. A strategy that leaves through stops and market orders pays it on every exit. A resting take-profit is a maker and does not. Fees are charged separately, see Costs and fees.
Not simulated yet
- The spread does not widen with order size. Size is priced by Market impact, which is off by default.
- Order-book (level 2) depth is coming.
Related: Fills and slippage.