Effective spread

The effective spread is twice the distance between your execution price and the mid-price at the time of the trade. It measures the real cost of crossing, which is often wider than the quoted bid-ask once size is included.

Quoted versus effective

The quoted spread is the gap at the top of the book for a tiny size. The effective spread is what you actually paid once your order walked past the top level — so for a large order it is the honest spread cost.

Using it

Comparing effective spread across venues shows where your size really trades cheapest, which is not always the venue with the tightest quoted spread.

How EnsoTrade measures it

EnsoTrade prices a large order against live order books across venues — which venues to use, what size each piece should be, and whether to rest an order or cross the spread. It is independent measurement, not execution: your own desk or execution partner keeps placing the orders on its own accounts, and we never touch custody, keys or funds. Before a window we price it at your real clip size on the venues you can use; after a window we score the fill with full workings. We quote no price or saving until you give your real clip size and fee stack — then the number is yours to check.

FAQ

What is the difference between quoted and effective spread?

Quoted spread is the top-of-book gap for a small size; effective spread is twice the distance from your actual fill to the mid, so it includes the cost of walking the book with real size.

Why does effective spread matter for large orders?

Because a large order rarely fills at the top of book — the effective spread captures the true cost of the size you traded, which the quoted spread hides.

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