Plotting the spread for various currencies from IB, I'm trying to understand why some currencies have a spread that is more "regular" while other currencies have spreads all over the place. The conclusion seems to be that on IB, only certain currencies have real trader interest... And for some reason, those currencies are NZD/AUD pairs! For example, USDCAD vs AUDNZD (left is spread, right is estimated volume on IB). Why are the NZD/AUD pairs so heavily traded on IB? Of course, it could just be that this is only recently due to the large moves.
Unsure of what I'm looking at, but rather than volume, would it be possible to take your data and calculate US$ of each trade? That would make all studied trades have an equivalent value. Then, you could put all spreads on the same graph, and see the spreads from an equivalent basis. ("Yayyyyyy!")
Ditto I don't see much other than what seems to be really tight 1/10 of a pip spreads except for the blips which are at the same times either a reset or a global market move
OK so what I had tried before was to plot bid/ask sizes not exactly what you were talking about. Converting to USD is going to be a pain in the butt, but what about spread/bid size? Would that be a good normalization? Blips, as far as I can tell were due to forex rollover time.
No it won't -- what is a AUS/NZD contract worth in $US? Take that, multiply by volume, and now your volume bars are US$Volume-Traded. One column. Do that for the other 6{?}, and you've got an equivalent scale by which to put them all on the same graph. THEN do Spread/Volume (as vertical axis ), with time as horizontal. "Woot!"
You're talking about futures contracts, I guess. I'm talking about FX, like actual currency exchange... So there is no USD equivalent that's easily available. I guess you could do something like AUDCAD @ 1 could be converted to USD through USDCAD but this seems dumb.
That, or a single tick value -- you make the call. But what you want is apples-to-apples so you can put 'em on a single screen, "time" included. At that point, patterns in spread roller-coasters will be much easier to discern -- and that is a good thing.