Quoted Rate Versus Executed Rate: A Month of Observations

A quote is a number shown before you commit. An execution is what happened. I recorded both for a month on one pair.

Method

Same pair, same venue, same size, once a day at the same hour. Screenshot of the quote, then execute, then record the amount received and the timestamp.

Thirty observations is not a study. It is enough to see whether the gap is systematic or random.

What the gap looked like

In most observations the executed rate was marginally worse than the quoted one. In a small number it was better. The average gap was small and the tail was not.

The two worst observations accounted for more of the total gap than the other twenty eight combined, and both occurred during obvious market movement.

What predicted a bad execution

One thing: whether the market moved between the quote and the confirmation. Nothing else in the record correlated.

Time of day mattered only through that mechanism. Quiet hours had small gaps because nothing moved, not because the venue priced differently.

The structural question

A venue can handle the gap in one of two ways. It can hold the quote and absorb the movement, or it can quote indicatively and pass the movement to you.

Both are defensible. Only one is usually explained, and it is rarely the second.

What a held quote is worth

On a volatile pair, more than most fee differences. A venue charging a tenth of a per cent more while holding the quote for sixty seconds can easily be cheaper in practice than one charging less and executing at whatever arrives.

An exchange that holds the quote long enough to read it is making a measurable commitment, and it is measurable precisely by the method above.

What I would do differently

Record the market reference at both moments, not just at execution. That separates venue behaviour from market movement, which this series could not fully do.

What the series supports

Only this: on one pair, at one venue, at one size, the gap was small on average and occasionally large, and the large cases were market-driven. Somewhere the quoted rate is the rate applied is worth paying for if you transact during movement.

It supports no claim about any other venue, which is why a venue with a published conversion schedule is worth more than a month of my observations about a different one.