What Is a Worked Example of Pair Session Behaviour?

Direct answer

A worked example of pair session behaviour is a transparent scenario where you assume a starting price, define how “session timing” changes liquidity and costs, then calculate a before/after move in pips and an example net result after spread. The key is that every number is an assumption, so you can verify the arithmetic and separate stable mechanics (converting price moves to pips, applying spread) from variable conditions (liquidity, volatility, execution quality).

Mechanism or definition

Pair session behaviour refers to the idea that observed price behaviour of a currency pair can differ depending on the market “session” time window (for example, when certain trading hours are active). The stable part of the concept is not a guaranteed pattern; it is that market microstructure can change with session overlap: liquidity often changes, spreads can widen or tighten, and large order flow can create different short-term dynamics.

To work with this concept in a verifiable way, you need explicit inputs:

1. A reference price (for example, mid-price at a session boundary).
2. A price change you will model during a later window (for example, mid-price moving by some number of pips).
3. Spread assumptions (the cost you approximate when converting a mid-price move into a tradable execution).
4. Execution assumptions (for example, that you get filled at the quoted side of the spread).

Note: session labels are a convention. Different brokers or platforms may segment hours differently, and historical studies do not automatically predict future outcomes.

Evidence or example

Below is one worked example using a hypothetical EUR-like pair. No live market data is used.

Assumptions (state everything)

• Currency pair quoted to five decimals (typical for many FX quotes).
• Pip value conversion for the quote: assume 1 pip = 0.00010 in price terms.
• At the start of Session A (time t0), the mid-price is assumed to be 1.20000.
• During Session A, the mid-price is assumed to move to 1.20060. That is a mid-price increase of:
  • 1.20060 − 1.20000 = 0.00060
  • 0.00060 / 0.00010 = 6 pips.
• At the start of Session B (time t1), the market is assumed to be more liquid and the spread tightens.
• In our model, execution uses the ask for a buy and the bid for a sell.
• We assume you are buying.
• Spread in Session A: assume spread is 1.0 pip at execution.
• Spread in Session B: assume spread is 0.5 pip at execution.

Model step: convert mid-price movement into execution cost

1. Session A execution entry (buy):

   • Mid at t0: 1.20000
   • Ask assumed = mid + spread/2
   • Spread/2 in pips = 0.5 pip
   • Ask is therefore 0.5 pip higher than mid.
   • In price terms: 0.5 × 0.00010 = 0.00005
   • Entry ask ≈ 1.20000 + 0.00005 = 1.20005.

2. Session A execution reference at t0→end of window:

   • Mid at end of Session A: 1.20060
   • To compare with a buy’s profit calculation, you would typically exit at the bid.
   • Exit bid assumed = mid − spread/2.
   • Spread/2 again is 0.5 pip → 0.00005
   • Exit bid ≈ 1.20060 − 0.00005 = 1.20055.

3. Session A net move for execution:

   • Exit bid − Entry ask = 1.20055 − 1.20005 = 0.00050
   • 0.00050 / 0.00010 = 5 pips net (after spread).

Repeat the same mid-price idea for Session B

Now assume that the mid-price moves the same direction and magnitude during Session B, but spreads are different.

• Mid at Session B entry: assume it is again 1.20000 for simplicity.
• Mid at end of Session B window: again assumed to rise by 6 pips to 1.20060.
• Spread in Session B is 0.5 pip.
• Therefore spread/2 is 0.25 pip.
• 0.25 × 0.00010 = 0.000025.

1. Entry ask ≈ 1.20000 + 0.000025 = 1.200025.
2. Exit bid ≈ 1.20060 − 0.000025 = 1.200575.
3. Net execution move = 1.200575 − 1.200025 = 0.00055.
4. 0.00055 / 0.00010 = 5.5 pips net.

What the worked example shows

Even when the assumed mid-price move is identical (6 pips), a change in assumed spread makes the execution-based net move differ (5 pips vs 5. 5 pips).