I think you might be interested in the average spread statistics in pips that I've done yesterday. It's calculated from the millisecond-precision tick data that I've been collecting from EFX & Interactive Brokers from mid August:
The source data only contains new quotes. In this methodology, a quote consists of both the Bid and Ask values. A new quote is created when either the Bid or Ask or both differ from their respective values in the previous quote.
The resulting table also contains information on how many quotes for the FX pairs in question were available for the calculation. The quote stream is not always continuous, i.e. if there is some internet connection or other failure, the quotes are missing in the source data. But, provided the spread values are distributed normally, this should not skew the results in an essential way.
EFX offers more FX pairs than IB, so there are only the resulting values for EFX for some pairs.
The value of the average spread is critical for trading systems that generate high frequency trades. Obviously, the average spread is not the only broker-dependent market access parameter that affects high frequency trading system's tradability. Among the key factors are:
- average spread
- executability, both price-wise and size-wise