January 4, 2018
Record Spread, Stop and Freeze Level
This EA is designed to be run in a single graph. The EA is run every “I_RecordPeriodInMinutes” minutes. When run, it will scan through a list of Symbols contained within the code and record the current Spread, Stop and Freeze Level. The results are stored in a file that takes the following format:
I_BeginningOfLogFile + “_Acc_” + AccountNumber() + “.txt”
For example, this may write to a file called “MktData_Acc_325681.txt”.
The EA uses a class file called C_LOG, which needs to be added to the “Include” directory for the EA to compile.
| EA MQL Code: | RecordSpreadStopAndFreezeLevel |
| Include File: | C_LOG |
This EA is designed to keep a record of how a broker’s Spread, Stop and Freeze level change over the month so that I can evaluate what Spread’s to use when optimising and testing the EA in strategy tester.
At present, I have limited data (2 days). I have included a copy of the charts for EURGBP below with some comments that I believe are relevant. I will attempt to update this further when I get more data.
I believe that it is worth noting the following points:
- The majority of the large spikes in the spread on both the Standard and Pro Account were outside of normal market hours. The earliest was just before 10:00pm GMT and the latest was just after 11:00pm GMT.
- There were some large spikes during the normal trading day, they were just before important calendar events, in particular the non-farm payroll was one of these, which was a USD event, not a GBP or EUR event.
- The StopLevel and FreezeLevel were zero throughout the period.
- There is almost no variation in the spread over the weekend, probably because no trading is allowed.
I am going to attempt to analyse the majority of the currency pairs on a regular basis and provide notes on when the spread’s are high. These results are shown in the following table:
| EURGBP: |
| There are very large spikes in the spread from just before 10:00pm GMT and just after 11:00pm GMT. There are also some significant spikes when there are important USD, EUR and potentially GBP calendar events. The StopLevel and FreezeLevel were zero throughout this period. In the standard account, the spread seemed to be below 0.0003 for the majority of the time. On the pro account, the spread seemed to be below 0.00015 for the majority of the time. The max spread encountered during the week for the standard account was 0.00061 and 0.00041 for the pro account. |
| GBPUSD: |
| There are very large spikes in the spread from just before 10:00pm GMT and just after 11:00pm GMT. There are also some significant spikes when there are important USD and potentially GBP calendar events. The StopLevel and FreezeLevel were zero throughout this period. In the standard account, the spread seemed to be below 0.0003 for the majority of the time. On the pro account, the spread seemed to definitely be below 0.00015 for the majority of the time, and possibly even as low as 0.0001. The max spread encountered during the week for the standard account was 0.00063 and 0.00039 for the pro account. |
| GBPAUD: |
| There are very large spikes in the spread from just before 09:30pm GMT and just after 11:00pm GMT. There are also some significant spikes when there are important USD, AUD and potentially GBP calendar events. The StopLevel and FreezeLevel were zero throughout this period. It was not available on the Standard account, but on the pro account, the spread seemed to definitely be below 0.00035 for the majority of the time, and possibly even as low as 0.0003. The max spread encountered during the week for the pro account was 0.00162. |
| GBPNZD: |
| I trust this the least out of all of the charts. There are very large spikes in the spread from just before 09:30pm GMT and just after 11:00pm GMT. There are also some significant spikes when there are important EUR and USD calendar events, but also some unrelated jumps. The StopLevel and FreezeLevel were zero throughout this period. It was not available on the Standard account, but on the pro account, the spread seemed to definitely be below 0.0006 for the majority of the time. The max spread encountered during the week for the pro account was 0.00223. |
| GBPCAD: |
| Again there are lots of large spikes in the spread just before 10:00pm GMT and just after 11:00 GMT. It was not possible to trade this on the Standard Account, but it had a zero StopLevel and FreezeLevel on the pro account. The spread seemed to remain below 0.00035 for the majority of the time on the Pro account, however there were some jumps in the spread. Of these jumps in spread, most were correlated with high risk calendar events, but the odd one or two were not. The maximum spread encountered during the week for the pro account was 0.00073. The spreads are much wider than GBPUSD and EURGBP. |
| GBPCHF: |
| Again there are lots of large spikes in the spread just before 10:00pm GMT and just after 11:00 GMT. It was not possible to trade this on the Standard Account, but it had a zero StopLevel and FreezeLevel on the pro account. The spread seemed to remain below 0.00035 for the majority of the time on the Pro account, however there were some jumps in the spread. Of these jumps in spread, most were correlated with high risk calendar events, but the odd one or two were not. The maximum spread encountered during the week for the pro account was 0.00092. The spreads are much wider than GBPUSD and EURGBP. |
| GBPJPY: |
| Again there are lots of large spikes in the spread just before 10:00pm GMT and just after 11:00 GMT. It was not possible to trade this on the Standard Account, but it had a zero StopLevel and FreezeLevel on the pro account. The spread seemed to remain below 0.025 for the majority of the time on the Pro account, however there were some jumps in the spread. Of these jumps in spread, most were correlated with high risk calendar events. The maximum spread encountered during the week for the pro account was 0.067. GBPJPY is significantly different to the other currencies. |
| Table Data: Approximately 1 week of data from early January 2017. |
Perhaps a sensible trading strategy might involve the following:
- Trading inside a timeframe where the market has a reasonable level of volume, i.e. exclude late night trading and perhaps Bank Holidays.
- Closing out trades say 5 to 20 minutes before a key calendar events, and then open the trade again, 5 to 20 minutes after. These calendar events would always include the USD events.
About The Author
Mark Wilson
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