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Retail trader on stock market has very limited ability to accomodate huge amount of information, it leds me to idea of using behavioir of more informed players - CFD brokers - spread of their CFD contracts. For example, in intraday : if spread for market index of small stock exchange increases without rise of its volatility it could mean that broker is anticipating rise of volatility (as it sees imbalance in LOB of futures on small stock exchange index, LOB of stocks incorporated in index or in order stream itself) and so trading signals generated by correlated market indices of large stock exchanges (which behaviour is leading ) should be incorporated with higher weight into decision making algorithm trading futures on s.m.e. price ? I wonder about validity of size of spread of CFD, if it contain meaningful trading informations of equity market prices sensitivity to comovements and news arrival, any ideas or publications ?

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    $\begingroup$ I've never traded CFD, but I would assume the spread is simply a function of recent volatility, nothing more. Nor do I think CFD brokers are particularly well informed, where would there information come from? $\endgroup$ – noob2 Mar 29 at 22:30
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    $\begingroup$ For this question we need to clarify first of which kind of CFD brokers we are talking about as there is no homogeneous group „CFD brokers“. It is mainly separated in DMA brokers quoting the market spread and taking provisions from traders and market making brokers charging no fees but earning money by artificially widening the spreads. So what is the assumption here? $\endgroup$ – Fokko Mar 30 at 7:16

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