Interval Spread in Currency (SpdCurr)

• Get all the quote price updates (both bids and asks) between the place acknowledgment time and last fill time of the order (“start and end time of the order”).

• For the placement time and for each subsequent quote update compute

• Spread in bps at this time point: SpdBps[i] = (AskPx – BidPx) / ((AskPx + BidPx)/2) * 10000

• Spread in currency at this time point: SpdCurr[i] = (AskPx – BidPx) / TickSize * TickValue

• Duration dt[i] this spread was valid for.

• The average interval spread in bps and currency is calculated as

• AvgSpdBps = sum (SpdBps[i] * dt[i]) / sum (dt[i]).

• AvgSpdCurr = sum (SpdCurr[i] * dt[i]) / sum (dt[i]).

Interval Spread in Currency parameters

Parameter	Description
Display	Opens sub-window to set parameters • Color = Line color. • Weight = Line thickness. • Display = Line style: line or histogram. • Text color = Color of order ID text.
MarkIt	Opens Specify Conditions window.
GW Account ID	Account identifier.
Place Order GUID	Order identifier.