The NFA defines spread cost based on the “mid-point spread cost.” In typical market conditions, this is the difference between the rate at which your order was executed and the mid-point of the bid/offer spread at the time your market order was received. Keep in mind that conditional orders become market orders once they are triggered. Mid-point spread cost typically reflects the cost of your trade outside of any commissions.
During extreme market conditions, the time period from when a market order is received as compared to when the order is ultimately executed may increase. This increase in time period can result from many factors including but not limited to: market volatility, available liquidity, pre-trade available margin check, and price validation etc.
The potential delay in order execution during extreme market conditions may cause wide variations of your spread cost at time of execution measured as the difference between bid/offer vs. the mid-point at time of execution. For example, these variations may result in a smaller than normal cost figure, or even a positive cost figure, in the case of limit orders filled at a better rate than the rate at which your limit was triggered. Conversely, these variances may reflect a larger than normal cost if your stop order rate was executed worse than the rate at which it was ultimately triggered. As noted above, these variations can result from many factors, including but not limited to market volatility, available liquidity, pre-trade available margin check, and price validation, etc.