Spyros

Nice A market order takes liquidity off the market. Limit orders add liquidity to the market. The price (bid/ask) that you see is: Bid: The highest (best) buy limit prices( the highest price that limit buy orders are placed) Ask: The lowest (best) selling limit prices ( the lowest price that sell limit orders are placed) In the case of few seconds before a major news release spreads widen because the liquidity providers (banks etc) withdraw their orders from the market, (because if the new is "market moving" then there might be an agressive one-side move which they will not be able to hedge against) thus making the difference between the price levels of the orderbook bigger. That means that the distance between the Bid/Ask prices described above widens because the orders 'waiting' at the orderbook are less. While in periods of low liquidity, since the distance between the orders in the orderbook is larger, and the volumes waiting to be executed are smaller, the price moves sharper because there is more distance to move from level to level and the volums at each level are smaller. A market order can move the price to another level if it consumes the liquidity that exists at that level. If there were only limit or stop orders placed then the price would stand still.

Hello, it is my first post, and I want to say that by no means I am affiliated with them, but a decent free source of data is http://www.dukascopy.com/swiss/english/marketwatch/historical/. They also have data for metals. Of course you have to clean up the data, since the 1-minute .csv files also contain dates that the markets are closed.