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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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    $\begingroup$ It is a very good question. But you know of course that there is no centralized order book in the FX market bis.org/publ/qtrpdf/r_qt1912g.pdf $\endgroup$
    – nbbo2
    Mar 28 at 11:46

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