Market · Interactive quote laboratory
How CFD prices are formed: references, quotes and liquidity
The displayed price is only part of the execution: the reference market, the spread, the quantity conditions and the order book priority.
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Reference market and customer contract are two levelsBid, Ask, Last and the mid-priceHow a provider can derive its quoteA quote does not guarantee any quantity at that priceLiquidity has several dimensionsPrice-time-priority: first better price, then earlier orderInteractive quote and quantity labTrading hours, indication and price gapsInvestigate deviations cleanlySourcesReference market and customer contract are two levels
A CFD is a contract for difference with the provider. Its prices can be based on stocks, an index, futures, FX sources or other references. The reference to a reference market does not automatically make the client position a listed exchange transaction. The customer needs the pricing and execution rules of his contract.
A CFD execution and an external hedging transaction of the broker are different processes. The broker can charge risk internally, nicely or externally hedge; time, quantity and price do not have to be identical. „The CFD follows the market is therefore too vague. Reference, quote, quantity conditions and accounting shall be checked. Order path and hedging →
Bid, Ask, Last and the mid-price
Bid is a purchase offer, Ask is a sale offer. Last is the price of the last trade concluded and may differ from the current offers. A middle rate is an arithmetic mean; it does not have to be a tradable offer itself. An index level can be a calculated value without the entire index portfolio being immediately tradable at that value.
For a purchase counts the appropriate sales offer. A single last trade with a small amount does not confirm that a large order still gets the same price. Historical chart candles condense data and often contain neither all quote pages nor the available quantities. Trigger and execution →
How a provider can derive its quote
A simple learning derivation starts with reference bid and reference ask and extends the spread by a surcharge. A provider may also use multiple data/liquidity sources, offer price levels by quantity or use its own reference formula. The laboratory surcharge is a disclosed assumption, not a reconstruction of a specific broker.
As a provider example, IG documents variable commodity spreads in which a separate spread is added to the underlying futures market spread. This is proven by this offer component, not every CFD price formation. Other instruments may have separate commissions, fixed spreads or other reference/financing models.
A markup does not have to be distributed symmetrically for both sides. Also, a dynamic spread can have several causes. For a factual analysis, the contractual rule and simultaneous reference data are needed; any deviation would be unproven to describe as manipulation. Market spread, markup and fees
[PRICE-IG]A quote does not guarantee any quantity at that price
A quotation represents prices at which the provider can trade under the applicable conditions or makes an offer. Whether a specific advertisement is binding or indicative, what amount it covers and when it is confirmed, depends on the execution model. The mere display of a price does not say this completely.
A vendor may charge different prices for larger quantities, reject a request, or execute only according to its filling rules. At the same time, a small quote can be immediately tradable. “CFDs are based on quotation” therefore describes customer access, but not yet any execution guarantee or complete independence from the reference market.
External hedging can have an economic impact on pricing and volume limits. This does not result in a mandatory one-to-one routing of each customer order. A good audit trail separates advertisement, order, acceptance, execution and, where applicable, external business.
Liquidity has several dimensions
A tight spread describes the distance between the best quoted sides. Depth describes quantities at price levels. Resilience describes how quickly offers return after a disruption. Trading hours and continuity determine whether these conditions also hold at the moment you wish to trade.
The lab shows 5 units on the first ask and additional quantities more expensive. A purchase of 12 units can therefore run over several levels and generate a higher weighted average price. A narrow bestspread can coincide with low depth. An order book recording is also ephemeral: offers can be changed or withdrawn.
CFD liquidity from the customer’s perspective concerns the quantities and conditions that the provider actually accepts. It is associated with reference liquidity, but not a simple image of a visible stock market quantity. The terms of the offer must be analysed at their own level.
Price-time-priority: first better price, then earlier order
In a FIFO order book, the better price takes precedence. For the same price, dormant orders are served according to temporal priority. For the buying attacker, the lower selling price is better. In the lab, A and B have the same Ask; A is earlier, so A gets the filling first. C and D follow only at higher prices.
In addition to FIFO, CME also documents proportional and combined procedures. Price-time priority is therefore not a universal allocation rule for all products. Product algorithm and, where applicable, rules for modifying an order can influence the priority.
A CFD client order does not automatically receive a place in this exchange queue solely because of the reference. Even with external routing or DMA, technical and contractual details are required. The manufacturer interface or an STP label does not prove a specific matching priority.
[PRICE-FIFO][PRICE-MATCH]Interactive quote and quantity lab
Compare reference order book and CFD offer
| Dormant offer of sale | Price | Quantity | Filling by model market purchase |
|---|
Fictitious static sales order book, FIFO and sufficient acceptance of visible reference offers are required. A before B at the same best price, then worse prices C/D. The CFD model is separate: symmetrical spread premium, fixed volume cap, fully accepted or rejected. No real routing, hedging, last price, limit order, cancellation race or dynamic liquidity provider. When the model market is closed, prices remain indicative; there is no filling. Actual terms and conditions of providers may differ.
Trading hours, indication and price gaps
A bidder may set its own quote outside peak hours, using other references where appropriate. Such a quote is not automatically the price of a currently open primary order book. Source change, lower available quantity or uncertainty can change the spread.
In the event of a trading interruption or data disruption, it is necessary to disconnect: Is only the display available or is the contract actually tradable? In the laboratory, the quote remains visible with deactivated tradability, is explicitly indicative and does not lead to execution. This is a learning assumption, not a description of all weekend products.
Price gaps can skip triggers. A stop level does not reserve an execution price without a special guarantee. Even a still visible old quote should not be confused with a new available offer. The time allocation is important for any analysis.
Investigate deviations cleanly
First, determine the exactly referenced market and contract. Then synchronized timestamps, time zone, bid/ask or Last, desired amount and compare data source. In the case of a rolling product, additional reference changes, adjustment and financing must be taken into account. A spot index and a later future are not identical comparison series.
Symbol conditions, order and execution history, server messages, as far as possible tick data of both quote pages and the price / execution conditions applicable at that time help as documents. A screenshot can be a reason for an examination, but rarely replaces this data.
Our guiding question is: What price is displayed, what amount does it cover and what conditions apply when trading? This makes the analysis practical for users: They recognize which information is missing, instead of already deriving a judgment from a single chart point. Futures, Reference Terms and Rollovers · Broker roles →
Sources & scope
Check the evidence.
- IG · Commodity CFD Product Details
Provider example for referencing and spread components. No general rule of all CFD providers, no provider recommendation.
Open the source ↗ - CME · How Agricultural Markets Operate
FIFO and Pro-Rata as different matching methods, not a universal price-time rule.
Open the source ↗ - CME Client Systems Wiki · Supported matching algorithms
Primary technical documentation: various algorithms and product dependency.
Open the source ↗