Open spread vs close spread
The open spread is the spread you capture by opening now. The close spread is the spread you give up by closing now. The round-trip spread is the distance between the two.
How it is calculated
| Name | Formula |
|---|---|
| Open spread | (short leg best bid − long leg best ask) ÷ long leg best ask |
| Close spread | (short leg best ask − long leg best bid) ÷ long leg best bid |
| round-trip spread | The absolute difference between the close spread and the open spread |
In the product
All three are in the market monitor in Z Market Lab and can be used in filters and alerts. In ZML Trade, the Open trigger and Close trigger use the price each leg would trade at: the best opposite price for a market leg and the resting price for a post-only leg.
How to read it
At any one moment the close spread is at or above the open spread. The round-trip spread is what you would give up by opening and closing at once. The smaller it is, the less the spread has to fall.