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SirNewton

Streaming data seems off around closing

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Streaming data seems off around closing. Any issues with the streaming of CAD/JPY today? Below, you can see the steaming data processed and sent to my Kafka servers.

The datetime is in CST. As you can see timeframe between 021-02-12 15:59:57.814888 and 2021-02-12 15:59:58.064755 seems unusual.

The BID went from 82.592 to 82.527 and the ASK went from 82.708 to 82.767.

Difference from BID to ASK went from 82.708 - 82.592 = .116 to 82.767 - 82.527 = .24 that changed more than double. Is this correct?

{'symbol': 'CADJPY', 'bid': '82.601', 'ask': '82.713', 'price': '82.657', 'DATETIME': '2021-02-12 15:59:56.738579'}
{'symbol': 'CADJPY', 'bid': '82.599', 'ask': '82.714', 'price': '82.657', 'DATETIME': '2021-02-12 15:59:57.093342'}
{'symbol': 'CADJPY', 'bid': '82.599', 'ask': '82.715', 'price': '82.657', 'DATETIME': '2021-02-12 15:59:57.321731'}
{'symbol': 'CADJPY', 'bid': '82.598', 'ask': '82.714', 'price': '82.656', 'DATETIME': '2021-02-12 15:59:57.599380'}
{'symbol': 'CADJPY', 'bid': '82.592', 'ask': '82.708', 'price': '82.650', 'DATETIME': '2021-02-12 15:59:57.814888'}
{'symbol': 'CADJPY', 'bid': '82.527', 'ask': '82.767', 'price': '82.647', 'DATETIME': '2021-02-12 15:59:58.064755'}

{'symbol': 'CADJPY', 'bid': '82.535', 'ask': '82.775', 'price': '82.655', 'DATETIME': '2021-02-12 15:59:58.844187'}
{'symbol': 'CADJPY', 'bid': '82.533', 'ask': '82.773', 'price': '82.653', 'DATETIME': '2021-02-12 15:59:59.139130'}
{'symbol': 'CADJPY', 'bid': '82.534', 'ask': '82.774', 'price': '82.654', 'DATETIME': '2021-02-12 15:59:59.347454'}
{'symbol': 'CADJPY', 'bid': '82.527', 'ask': '82.767', 'price': '82.647', 'DATETIME': '2021-02-12 15:59:59.595988'}
{'symbol': 'CADJPY', 'bid': '82.535', 'ask': '82.775', 'price': '82.655', 'DATETIME': '2021-02-12 15:59:59.855962'}
{'symbol': 'CADJPY', 'bid': '82.535', 'ask': '82.775', 'price': '82.655', 'DATETIME': '2021-02-12 16:00:00.111481'}

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Hi SirNewton,

Unfortunately I am not able to check any queries related to price discrepancies. Please contact client services who will have the relevant team investigate and reply to you with their response.

Kind Regards, PM

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@SirNewton Volatility rises and Liquidity lowers when the Major Market Closes, like near 5PM Eastern Time everyday. This causes the Spread to go HIGH for certain pairs. I have seen on GBP/NZD pairs spread go as high as 12, sometime 18 on regular day 5PM EST+ as well as on Friday 5PM EST+.

 

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