QuotedSpread

The top-of-book bid-ask spread expressed in basis points of the mid — the standing cost of crossing the spread at the touch.

Quick reference

Item	Value
Family	Microstructure
Input type	OrderBook — sorted bid/ask depth snapshot
Output type	f64 (basis points)
Output range	≥ 0 for an uncrossed book
Default parameters	none
Warmup period	1
Interpretation	Standing liquidity cost

Formula

mid          = (bidPrice₁ + askPrice₁) / 2
quotedSpread = (askPrice₁ − bidPrice₁) / mid · 10_000   (bps)

Normalising by the mid makes it comparable across instruments. Empty book → 0. Stateless, O(1). See crates/wickra-core/src/indicators/quoted_spread.rs.

Parameters

None. Construct with QuotedSpread::new().

Inputs / Outputs

Indicator<Input = OrderBook, Output = f64>. Bindings: update(bid_px, bid_sz, ask_px, ask_sz); Python / Node batch over a list of snapshots → 1-D array. WASM streaming-only.

Warmup

warmup_period() == 1.

Edge cases

• Empty book. Returns 0.
• Uncrossed input. For a valid (uncrossed) book the result is non-negative.

Examples

Rust

use wickra::{Indicator, Level, OrderBook, QuotedSpread};

let book = OrderBook::new(
    vec![Level::new(100.0, 1.0).unwrap()],
    vec![Level::new(101.0, 1.0).unwrap()],
).unwrap();
// spread 1.0, mid 100.5 -> 1 / 100.5 * 10_000 ≈ 99.5025 bps
assert!((QuotedSpread::new().update(book).unwrap() - 99.502_487_56).abs() < 1e-6);

Python

import wickra as ta
print(ta.QuotedSpread().update([100.0], [1.0], [101.0], [1.0]))  # ≈ 99.5025 bps

Node

const { QuotedSpread } = require('wickra');
console.log(new QuotedSpread().update([100], [1], [101], [1])); // ≈ 99.5025

Interpretation

The quoted spread is the headline liquidity cost — how many basis points a round-trip at the touch would cost if you crossed both sides right now.

• Wide. Thin or nervous market; market makers demand more to quote. Spreads blow out around news, at the open and close, and in low-liquidity hours.
• Tight. Deep, competitive, calm market; the cost of immediacy is low. Major FX pairs and large-cap equities sit here in normal regimes.
• Versus the effective spread. The quoted spread is what the book advertises; the EffectiveSpread is what trades actually pay. A persistent gap means meaningful price improvement (or slippage) inside the quote.

Common pitfalls

• It ignores size. A tight quote for one lot can still be expensive to trade through — the second level may be far away. Combine with DepthSlope or OrderBookImbalanceTopN to see depth.
• Basis points hide the absolute cost. A 5 bps spread on a $5 stock is a different ticket than on a $5 000 future; weigh it against what you trade.
• Crossed or locked books. A momentarily crossed feed (bid ≥ ask) yields a non-positive spread; this indicator clamps an empty book to 0, but you should still sanitise upstream quotes.

References

• Richard Roll, A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, Journal of Finance, 1984.
• Maureen O'Hara, Market Microstructure Theory, 1995 — the economics of the spread as a liquidity premium.

See also

• EffectiveSpread — what trades actually paid versus the quote.
• RealizedSpread — the spread the maker keeps after price impact.
• Microprice — fair value inside the spread.
• Indicators-Overview — the full taxonomy.