How fast is the forex market regenerated?
How fast is the forex market regenerated?
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Bertrand125 · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Bertrand125
Original post: https://quant.stackexchange.com/questions/75046
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
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I'm doing some statistics in order to evaluate the Forex market profitability.
I first define what I call "regeneration of the market".
For example, the following fictive order-book of EURUSD:
ASK:
20M 1.10010
8M 1.10005
2M 1.10002
BID:
1M 1.99999
9M 1.99995
15M 1.99990
Spread for 10M: 0.00010
If I open a BUY position of 10 millions, the order-book will be the following:
ASK:
20M 1.10010
BID:
1M 1.99999
9M 1.99995
15M 1.99990
Spread for 10M: 0.00015
I call the market "regenerated", when there is again a spread of 0.00010 for a 10M position.
The spread of 0.00010 is fictive, I don't know what is the average spread for 10M positions.
So, just after having opened a position, how much time a trader will have to wait before there will be again the average spread for a 10M position ?
I know it is hard to give a precise answer, but I would like to have an approximation or an average.
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AlexVI · External communityPost link
External answer — Quantitative Finance Stack Exchange
Author: AlexVI
Original post: https://quant.stackexchange.com/a/78253
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
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let's start with a couple of errors in your question:
you cant have the best bid at 1.99999 and the best offer at 1.100002. I guess you meant 1.09999
as said in the comments there is no centralized order book in FX. You can aggregate them but beware of mirage liquidity (same orders lying in several orderbooks)
some orderbooks have different minimum tick sizes. main ones in eurusd are quoting in 0.5 pips, so you couldnt find any price like 1.10001, it will be 1.10005 or 1.10000.
in FX it s easier (and the best practice) to speak in pips (10-4 for EURUSD). In your orderbook, the top of book spread is 0.3 pips. But the spread for 10M is 0.9 pips.
To answer your specific question, speed of replenishment is very volatile and with a high level of seasonality, specially intra day; so it s hard to give you a specific answer.
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: Bertrand125 Source score (net votes, not local likes): 2 Original post: https://quant.stackexchange.com/questions/75046 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I'm doing some statistics in order to evaluate the Forex market profitability. I first define what I call "regeneration of the market". For example, the following fictive order-book of EURUSD: ASK: 20M 1.10010 8M 1.10005 2M 1.10002 BID: 1M 1.99999 9M 1.99995 15M 1.99990 Spread for 10M: 0.00010 If I open a BUY position of 10 millions, the order-book will be the following: ASK: 20M 1.10010 BID: 1M 1.99999 9M 1.99995 15M 1.99990 Spread for 10M: 0.00015 I call the market "regenerated", when there is again a spread of 0.00010 for a 10M position. The spread of 0.00010 is fictive, I don't know what is the average spread for 10M positions. So, just after having opened a position, how much time a trader will have to wait before there will be again the average spread for a 10M position ? I know it is hard to give a precise answer, but I would like to have an approximation or an average.
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