USDJPY spread during NFP news release last Friday 06/09/13 | Page 2 | Forex Factory

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Attachments: USDJPY spread during NFP news release last Friday 06/09/13
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USDJPY spread during NFP news release last Friday 06/09/13

  • #21
  • Sep 9, 2013 3:13pm Sep 9, 2013 3:13pm
Quoting Robot Trader
{quote} ARTjoMS I have taken the tick data and put it into an Excel spreadsheet, there are a couple of entries that have shown up where the spread is wider than that shown in the tick data calculation, which I have high lighted in bold. Where these errors occur in the tick data I have noticed this ( ; ) symbol between the numbers rather than a dot, this could be causing a miss calculation. Do you know why the tick data would be presented with this ( ; ) symbol causing the error, because apart from these two entires all the spreads are below 4 pips...
99;717 means that Ask is 99.00 and it was 717 ms since last tick. (And not that Ask is 99.717 as is assumed in your calculations)
  • #22
  • Sep 9, 2013 5:47pm Sep 9, 2013 5:47pm
You are right. My broker have reply me below:

<<The stop was slipped from 99.60 to 99.10 due to the volatility of the US Non-Farm Payrolls. Historically, this is the most "market-moving" economic data released each month. As a result there may be periods of extreme volatility shortly before and after the release. This volatility may bring periods of illiquidity in the market which may make it difficult to enter and exit the market at desired prices. The order was filled at next best available price.>>
  • #23
  • Sep 9, 2013 7:37pm Sep 9, 2013 7:37pm
Quoting ARTjoMS
{quote} 99;717 means that Ask is 99.00 and it was 717 ms since last tick. (And not that Ask is 99.717 as is assumed in your calculations)
ARTjoMS,

Thank you very much I missed that 99 was a solid number with no decimal places, I have amended my excel spreadsheet.

So the tick data you provided is in milliseconds and in some cases the tick data is recorded 4 times within 1 second, so it would be hard for this type of data to miss a full spike of 45 pips at the very least you would think it would catch part of the spike either on the way up or on the way down, but the data does not show any spread above 4 pips.

Best Wishes

RT
Attached File(s)
File Type: xls USDJPY NFP Spreed.xls   46 KB | 456 downloads
Some people say I'm lucky, but the more I practice the luckier I get
  • #24
  • Sep 9, 2013 7:56pm Sep 9, 2013 7:56pm
Quoting tohalan
You are right. My broker have reply me below: <<The stop was slipped from 99.60 to 99.10 due to the volatility of the US Non-Farm Payrolls. Historically, this is the most "market-moving" economic data released each month. As a result there may be periods of extreme volatility shortly before and after the release. This volatility may bring periods of illiquidity in the market which may make it difficult to enter and exit the market at desired prices. The order was filled at next best available price.>>
Tohalan,

Your brokers statement in part seems well rehearsed in that it is a typical client reply.

Basically your Buy trade succumbed to slippage and while not good at least the price kept falling, for me it always feel worse when this happens and price goes much much higher.

Regards

RT
Some people say I'm lucky, but the more I practice the luckier I get
  • #25
  • Sep 9, 2013 9:12pm Sep 9, 2013 9:12pm
http://www.forexfactory.com/attachme...1&d=1365699654


Talking about spread, this is a picture of a trade being closed out when the spread went to 100 pips. No money back for me either.
  • #26
  • Sep 9, 2013 10:51pm Sep 9, 2013 10:51pm
Quoting waltini1
http://www.forexfactory.com/attachme...1&d=1365699654 Talking about spread, this is a picture of a trade being closed out when the spread went to 100 pips. No money back for me either.
spreads means the difference between bid and offers.

You mean spike or spread?

Spread -> USDJPY 99.00 Sell 100.00 Buy?

How is that possible to be shown? on the live rate ?
Attached Image
  • #27
  • Sep 9, 2013 10:55pm Sep 9, 2013 10:55pm
Quoting tohalan
You are right. My broker have reply me below: <<The stop was slipped from 99.60 to 99.10 due to the volatility of the US Non-Farm Payrolls. Historically, this is the most "market-moving" economic data released each month. As a result there may be periods of extreme volatility shortly before and after the release. This volatility may bring periods of illiquidity in the market which may make it difficult to enter and exit the market at desired prices. The order was filled at next best available price.>>
slippage is normal, which is why if one don't have a trade before news, don't enter yet, entry can be made via buy sell stops instead to follow the gush of volatility. -> still prone to reverse flow, which is why trade are advised to be very quickly or trade management comes in.

My sell stop at 99.40 slipped to 99.20 which is normal. So ur stop loss at 99.60 can only be exited at 99.10.

Sometimes, trader removed stop loss temporary to prevent this kind of stop slips. And wait till price calmed down and exit at the better price. Still, if ur short can exit at 99.60 will be better than 99.30 even if market retraced.
  • #28
  • Sep 9, 2013 10:56pm Sep 9, 2013 10:56pm
For me is spiked within few seconds with 70 pips
  • #29
  • Sep 10, 2013 4:57am Sep 10, 2013 4:57am
Quoting 5percent
{quote} spreads means the difference between bid and offers. You mean spike or spread? Spread -> USDJPY 99.00 Sell 100.00 Buy? How is that possible to be shown? on the live rate ? {image}

Hi 5percent,

I mean spread. A chart only shows bid prices, and in my case you can see a sell being closed at the Ask about 50 pips higher than the high of the bar. In fact at the time the bid was a further 50 pips lower. The broker freely admitted the spread was over 100 pips.

In your EUR/USD example with a hundred pip spread the ask would be 1.3740
  • #30
  • Sep 10, 2013 10:13am Sep 10, 2013 10:13am
Quoting waltini1
{quote} Hi 5percent, I mean spread. A chart only shows bid prices, and in my case you can see a sell being closed at the Ask about 50 pips higher than the high of the bar. In fact at the time the bid was a further 50 pips lower. The broker freely admitted the spread was over 100 pips. In your EUR/USD example with a hundred pip spread the ask would be 1.3740
then u should quit that broker and write review on FPA.

100 pips spread is nonsense, when robot's one already went to the extreme of 40.
  • #31
  • Sep 10, 2013 11:08pm Sep 10, 2013 11:08pm
and this is my case during NFP released.
Attached Image (click to enlarge)
Click to Enlarge Name: nfp.png Size: 41 KB
SVT refer to mql5 link
  • #32
  • Sep 11, 2013 6:58am Sep 11, 2013 6:58am
I now have spreads from different providers and it would seem there was a glitch in the market where some brokers did not receive spread quotes from their providers. The loss of feed was from 10 seconds after the new release then came back at around 25 seconds past and then was lost again at 33 seconds past and did not return on EURJPY for a further 30 seconds and on USDJPY it was lost for a full minute.

I believe brokers that were effected by this were widening the spreads at this time, because they did not know where PA was going to be when their feed came back on line. This is probably what happened to my broker (although I have still not received the spread data from them yet) they were widening the spread to protect themselves from none hedged directional Buy & Sell orders and my trades that were fully hedged and therefore not really causing them a problem got caught up in the carnage.

Still looking into who's problem it should be when a broker looses quotes from their liquidity provider, for me I feel this should be their problem to deal with and they should not pass it onto their clients, but take up the issue with their liquidity provider.
Some people say I'm lucky, but the more I practice the luckier I get
  • #33
  • Last Post: Mar 16, 2016 9:38am Mar 16, 2016 9:38am
Quoting Robot Trader
Hi All, I am looking for help, I have a dispute with my broker over their wide spread during the NFP new release last Friday, they widened the spread on my account to 45 pips on the USDJPY stating this was a worldwide event and not just them making this happen. I have been in email contact with another trader who traded the NFP and was at his computer when the news was released, he says his broker only spiked his spread by 6 pips, so I am looking for feedback from other trades you might have traded the NFP. My broker claims that 45 pips was what...
I had exactly the same problem like you. I get right direction and candle even far didn't touch sl. I took right direction from beginning!!! My terrible broker AAAFx told me as: Please be advised that the technical department has investigated the issue regarding the execution of pending order and you can see on the attached the EUR/USD market was excessively volatile, as it moved in excess of 145 pips, with 295 price updates being received within this minute. As a result and as AAAFx operates in Market Execution, the set Entry rate could not be adhered to. In more detail, the reason for this is that the price requested for the Entry, although reached, may no longer be available or offered at market, and so AAAFx cannot fulfill it as requested. So although AAAFx will at all cases do its utmost to fill in requests with the set parameters (Entry rate, Stop Loss, Take Profit, etc), when the requested rates are no longer available at market, then they will be filled in according to the next available valid rates that can be offered at market. Please note that depending on the case, this can be to your advantage (e.g. positive discrepancy to your set Limit) or to your disadvantage (negative discrepancy to your set Stop). So the discrepancy that occurred on this case was not down to an execution issue but down to the overall market situation - the trades in question were executed at the best available price in the market, but at the time there was extreme volatility and as a result liquidity was low. As such, and as the overall market conditions are beyond our reasonable control, a refund cannot be issued on this case. I hope the above clarifies the situation, for further questions please contact us again.
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