Cross Bid and Ask prices for Forex trading

External question — Quantitative Finance Stack Exchange Author: Taimoor Choudhary Original post: https://quant.stackexchange.com/questions/3461 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I am using ITCH protocol to get the Market Data information for Forex and trying to implement LOB on it and what i have noticed is that Bid and Ask prices are crossing very often. Should that be happening in the normal circumstances for Forex trading? or Raw data from the ITCH data stream has to be filtered first manually?

External answer — Quantitative Finance Stack Exchange Author: Ariel Silahian Original post: https://quant.stackexchange.com/a/27826 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. First, that's a common thing in active hours. Since you are dealing with fx, you should ask Hotspot representative what kind of liquidity are you getting. Usually, if you want to aggress on those crossing prices, you won't be able to. Imagine everybody trying to do arb on that. So, ask Hotspot what kind of liquidity they are sending you.