4.3.9
Har trade mein ek hidden toll booth hota hai. Jo price aap quote mein dekhte ho, woh ek number nahi hoti — woh do hoti hai: woh price jis par aap bech sakte ho (bid) aur woh price jis par aap khareed sakte ho (ask). Unke beech ka gap, yaani spread , woh paisa hai jo aapke pocket se usi waqt nik jaata hai jab aap trade mein enter aur exit karte ho. Frequent traders iss invisible tax ki wajah se zyada paisa zyada kho dete hain, buri predictions se nahi.
Definition Bid, Ask, Spread
Bid = woh highest price jo koi buyer abhi dene ko tayyar hai.Ask (ya offer ) = woh lowest price jo koi seller abhi lene ko tayyar hai.Spread = Ask − Bid . Hamesha ≥ 0 Mid price = 2 Bid + Ask
Spread kyun exist karta hai? Kyunki ek market maker hamesha sellers se kharidne aur buyers ko bechne ke liye tayyar rehta hai. Is instant liquidity dene ke badle, woh neeche kharidta hai (bid) aur upar bechta hai (ask), aur spread ko apni fee ke roop mein pocket karta hai, risk lene ke liye.
Intuition Round-trip penaltyJab aap ask par kharidke turant bid par bechte ho, toh aap poora spread khote ho chahe market bilkul na bhi hili ho . Aap har trade ki shuruat pehle se "down" hoke karte ho.
Round-trip spread cost ki derivation first principles se.
Aap Q ask dena padta hai:
Cost to enter = Q ⋅ Ask bid par bechte ho:
Received on exit = Q ⋅ Bid Loss = Q ⋅ Ask − Q ⋅ Bid = Q ( Ask − Bid ) = Q ⋅ S
Yeh step kyun? Kyunki enter aur exit karte waqt har baar aapko quote ke worse side par jaana padta hai — ek round trip mein poora ek spread ka loss.
Agar hum apna reference mid se maante hain (jo hume "fair" price lagti thi), toh sirf ek side (sirf kharidna) mein hi aadha spread lagta hai:
Half-spread cost = Q ⋅ 2 S
Maan lo relative round-trip cost c N Capital after N trades = V 0 ( 1 − c ) N
( 1 − c ) N c compound hote hain, bilkul negative interest ki tarah.
Worked example Overtrading ka trap₹1,00,000 ka account, relative round-trip cost c = 0.3% V = 100000 ( 1 − 0.003 ) 200 = 100000 ⋅ e 200 l n ( 0.997 ) ln ( 0.997 ) ≈ − 0.003005 , 200 × ( − 0.003005 ) = − 0.601 V ≈ 100000 ⋅ e − 0.601 ≈ 100000 × 0.548 = ₹ 54 , 800 Shock kyun? Aapne sirf costs ki wajah se ~45% capital kho diya, yeh soche bina ki aapke trades sahi the ya galat. Isliye 80/20 kehta hai: trade frequency kam karna zyaatar retail traders ke liye sabse zyada high-leverage improvement hai .
Worked example Example 1 — Wide-spread small-capStock quotes: Bid ₹50.00 / Ask ₹50.40 . Aapne 100 shares kharide, turant bech diye.
S = 50.40 − 50.00 = ₹0.40 Kyun? Ask − Bid.Relative spread s = 50.20 0.40 × 100 = 0.80% Mid 50.20 se kyun divide kiya? Taaki alag-alag prices ke saath compare kar sako.
Round-trip spread loss = 100 × 0.40 = ₹40 Kyun? Q ⋅ S
Aapko price kam se kam 0.8% upar jaani chahiye sirf spread break even karne ke liye. Kyun? Kyunki exit par aap wahi gap dobara cross karte ho.
Worked example Example 2 — Liquid large-capBid ₹2000.00 / Ask ₹2000.10 , 100 shares kharide.
S = ₹0.10 ≈ ₹200 , 010 s = 0.10/2000.05 × 100 = 0.005% Itna tiny kyun? Deep liquidity → market makers compete karte hain → spread shrink hota hai.Round-trip loss = 100 × 0.10 = ₹10 Lesson: spread kitna hurt karta hai yeh liquidity decide karti hai, price nahi.
Worked example Example 3 — Market vs limit orderBook: Bid ₹100.00, Ask ₹100.05.
Market buy → ₹100.05 par fill hota hai (spread pay karo, lekin instant ). Cost = mid se half-spread ₹0.025/share.Limit buy at ₹100.00 → aap bid join karte ho; fill hone par aap spread earn karte ho — lekin fill kabhi na ho , ya sirf tab fill ho jab price gir rahi ho (adverse selection).
Yeh trade-off kyun matter karta hai: market orders time ko cost mein convert karte hain; limit orders cost ko uncertainty mein convert karte hain. Urgency ke hisaab se choose karo.
Common mistake "Stock 1% upar close hua, toh maine 1% banaya."Sahi kyun lagta hai: ticker par last traded price 1% badhi. Galti kya hai: aapne ask par kharida aur bid par bechna hai. Agar spread 0.8% hai, toh realized gain 0.2% ke kareeb hoga. Fix: apna P&L hamesha fill price se exit bid tak mark karo, mid ya last-traded price se nahi.
Common mistake "Chhota spread matlab sasta — ignore karo."Sahi kyun lagta hai: ₹0.05 bilkul trivial lagta hai. Galti kya hai: ₹10 ki stock par yeh per round trip 0.5% hai; 100 trades ek saal mein ( 1 − c ) N Fix: hamesha relative spread mein convert karo aur apne trade count se multiply karo.
Common mistake "Bade orders price nahi badlate."Sahi kyun lagta hai: 10 shares ke liye, sahi baat hai. Galti kya hai: ek bada order book ke multiple price levels ko kha jaata hai → spread ke upar slippage bhi; average fill top-of-book ask se bura hota hai. Fix: size ke liye orders split karo ya limit orders use karo; slippage alag model karo.
Recall Khud se test karo (answers chupaao)
Kaunse do prices ek quote banate hain, aur aap kharidne ke liye kaunsi use karte ho?
Relative spread formula likhkar batao ki hum mid se kyun divide karte hain.
Ek round trip mein poora spread kyun kho dete ho, chahe price flat ho?
( 1 − c ) N Market order pe spread pay karna kab worth it hai?
Recall Ek 12-saal ke bacche ko samjhao (Feynman)Socho ek dukaan tumhara purana game ₹90 mein kharidti hai lekin wohi game ₹100 mein bechti hai. Agar tum kharid lo aur ek minute baad mann badal jaye aur wapas becho, toh tum pehle se ₹10 down ho — dukaan woh gap rakh leti hai kyunki woh har second trade ke liye tayyar rehti hai. Yeh ₹10 ka gap hi spread hai. Agar tum din bhar kharidne-bechte raho, toh yeh chhote-chhote gaps jud jaate hain aur tumhara pocket money kha jaate hain, chahe game ki asli value kabhi na badli ho. Toh kam trade karo, aur aise cheezein trade karo jahan gap bahut chota ho.
Mnemonic Direction yaad rakho"Buy at the Ask (high), Sell at the Bid (low) — aap hamesha usi price par trade karte ho jo tumhare liye Sad hai." Aur B id < A sk, alphabetical order = price order.
Bid price kya hoti hai? Woh highest price jo koi buyer abhi dene ko tayyar hai.
Ask (offer) price kya hoti hai? Woh lowest price jo koi seller abhi lene ko tayyar hai.
Spread define karo. Ask − Bid; best sell aur best buy prices ke beech ka gap.
Relative spread ka formula kya hai? (Ask − Bid) / Mid × 100%, jahan Mid = (Bid+Ask)/2.
Spread ko mid price se kyun divide karte hain? Alag-alag price levels wali stocks mein cost compare karne ke liye; sirf % figure comparable hoti hai.
Market order se BUY karte waqt kaunsi price milti hai? Ask (woh higher price).
Market order se SELL karte waqt kaunsi price milti hai? Bid (woh lower price).
Q shares ke liye round-trip spread loss kya hoga? Q × (Ask − Bid) = Q × S, chahe price na bhi hile.
Round trip mein poora spread kyun kho dete ho? Tum enter karte ho worse side par (ask) aur exit karte ho worse side par (bid), gap do baar cross hota hai.
N trades ke baad round-trip cost c ke saath capital kya hogi? V₀ × (1 − c)^N — costs multiplicatively compound hote hain.
Spread se kaun faayda uthaata hai aur kyun? Market makers, instant liquidity provide karne aur inventory risk lene ki payment ke roop mein.
Slippage kya hota hai? Woh extra cost jab ek bada order top-of-book quote se buri price levels par fill hota hai.
Market order vs limit order ka trade-off kya hai? Market certainty/speed ke liye spread pay karta hai; limit spread earn kar sakta hai lekin fill na hone ya adverse selection ka risk rehta hai.
Chhota absolute spread fir bhi kyun matter karta hai? Kam price wali stock par yeh per trade ek bada % hota hai aur bahut saare trades mein compound ho jaata hai.
Bid-Ask Spread and Market Makers Order Types — Market vs Limit vs Stop Liquidity and Volume Slippage and Market Impact Brokerage Fees and Transaction Costs Overtrading and Behavioural Mistakes Position Sizing and Risk Management
creates for liquidity fee
