A deeper analysis of price levels, and the concept of market impact

By Reem Bacha

26 December 2023

analysis of price levels

The first three articles in this series laid a solid foundation of knowledge to answer the question: why does pricing differ across various brokers?  

It’s a reasonable question to ask, and at this point in the series, you’ve probably got a good understanding of it. So, in this installment, let’s break prices down into spreads and price levels, and address why both can differ across different brokers.

Price levels

Because the OTC market has many transactions with different prices available for the same asset at the same time, it’s possible for price differences to exist between different market maker feeds, even for the most liquid assets. 

Thanks to electronic trading and algos programmed to take advantage of arbitrage opportunities between different liquidity pools, these cases are now rarer than ever. That said, they can still happen, especially during periods of lower liquidity. 

Let’s take a look at an example.

Imagine it is a time of day when low volumes are traded for a particular instrument. This means that lower volumes are available for trading, and a large market order can cause a significant move in the price of an instrument. 

If this order is placed in liquidity pool A, it will move prices there, and then due to arbitrage opportunities, other liquidity pools would quickly move in the same direction. 

Another possibility is that a wrong price (e.g. due to a system misconfiguration or a human error) is placed in liquidity pool B, causing a big move there. Most other liquidity pools would not follow this move; the only ones that would move are those that are redistributing this price onwards.

When price levels differ across different venues, it is most often due to one of the below reasons: 

  1. Large orders that temporarily moved prices in one venue and not in another

  2. Lower liquidity and/or systems resetting/limit order removal, e.g. during rollover or holidays

  3. A misquote in a pool that differs from the others

What happens in cases of misquotes?

When one price provider has a misquote, and others don’t, it’s possible for prices to differ between brokers who use the price provider with the misquote, compared to other brokers that don’t. 

In these situations, especially if the broker has several price sources at their disposal, the broker will typically investigate why there was a price difference between different price providers. If they confirm it was a misquote, it’s common in the industry for brokers to cancel trades that profited from the bad price, and to compensate those traders who are harmed by it. 

Taking away client profits due to misquotes is a practice we don’t employ at Exness. We do, however, always compensate clients negatively affected by a misquote, and we review our logic to minimize the probability of such a recurrence in the future.

Price inconsistencies due to tick filtering

In some cases, prices differ between liquidity pools or brokers due to tick filtering. As we covered in article 2 of this series, some brokers might employ strict tick filtering immediately after market news in order to reduce the load on their systems and prevent execution slowdown. 

They may even temporarily stop updating their prices due to risk management practices. In these cases, these prices would not show all the real market moves, and so parts of the price move can be missed, while still being visible in the primary market.

Spreads & slippage

Once again, because of the nature of the OTC market, different prices can coexist for the same asset at the same time. There’s no single source of truth or correct reference price.

The best way to assess where the real market is (in terms of both price levels and spreads) is to consider prices at which large volumes can actually be traded. Brokers can easily show clients super tight spreads, but when clients try to execute large volumes at those prices, the reality looks different and those trades are filled with substantial slippage, because only very small volumes were available for trading at the published spread, and it’s possible that the amount available at that spread was not displayed. 

For instance, with broker B you might be able to trade 0.01 lots on EURUSD at a spread of 0.00001, another 0.01 lots at a spread of 0.00002, and so on, so a 10 lot trade could end up being filled with a spread of 0.00030 (although the spread you were shown was 0.00001). 

That means trading larger orders would trigger slippage and execution on a wider spread. Opening a position with a volume of 0.01 lots may have a completely different spread from a position with a volume of 10 or 100 lots, simply because there is a ‘market impact’ and the liquidity offered by the broker on the requested price level is not sufficient.

If brokers have a large balance sheet, they are sure their price is correct, and they wish to give their traders a chance to trade on transparently tight spreads in order to increase their chances of success, they can offer trading without market impact (i.e. no spread widening), even for clients that trade large volumes. This is exactly what we do at Exness. 

No market impact 

At Exness, we fill all client trades at the spread they see, and we keep most of our spreads stable throughout the day. 

If brokers wish to attract clients with their tight spreads, the simplest way is to offer very low volumes available for trading at those prices. However, this is done at the expense of their traders.

That’s why it’s important for traders to pay close attention to the volumes available for trading at the spreads they see on their platform. This allows them to make sure that their broker is not widening spreads as soon as the trade size begins to increase above a certain level. 


It’s very important for traders to select a broker with a large balance sheet that offers stable and reliable spreads, regardless of the position size. 

Given factors like the difference in prices in the OTC market, the differences between price data providers, the diversity in pricing algorithms, latency, various risk management techniques, as well as rare technical errors, it's expected that brokers will have some level of variation in their pricing between each other. 

While they may be similar, exact price matching across different brokers at all times is highly improbable. 

Now that you know all there is to know about how brokers make their pricing, it’s time we show you how we make our prices at Exness. Read the next article to get the full breakdown.

This is not investment advice. Past performance is not an indication of future results. Your capital is at risk, please trade responsibly.


Reem Bacha
Reem Bacha

Reem Bacha is a dedicated content professional and product communications specialist with over 8 years of experience in the FinTech sector.