Looking at the comparison of 6e vs m6e bid/ask data over 50 days I found about 10 bad spikes ranging from 20 to 50 fifty pips. Most of them occur during the Asian session. There is also a huge spike everyday at the rollerover so you won't want to hold these positions over the Globex reset hour.

I'm going to contact CME FX group and ask them about the spikes. It looks like they are generally micro second blips, stop hunting or fat fingers or just liquidity dries up for a split second as HFT guys can't match up a profitable 6E M6E arb, news?

So, every five days or so you can expect a 20-50 spike at some moment during the day as prices diverge from underlying market by 20-80%? I don't like it one bit. I think it means no trading prior to news and staying in the more liquid session times. That and using more advanced order types should do the trick and keep me safe.

I am going to run this on X Trader. As I will average trading 50 micro lots rt's per day, at 2.5/rt approximately through most brokers, the commission is 2500/month whereas the license to XTrader is 675$ month for unlimited trading. There is no question that the XTrader license is the most cost effective way to trade microlots.

X is professional level software used by investment banks and hedge funds, hence it does come with highly stable and effective ordering options. As a protection against those rare little spikes I will use order types such as limit if touched, etc... no stop limit orders, no market orders, this might be beneficial in creating good habits as well... Although, I much prefer market orders, always impatient, always hate to miss a move, but most of the time they don't get you in at the best price, it's that one time where a move gets off and goes and goes and you missed over a limit order 3 pips away that drive you mad.... but, gotta start seeing the forest for the trees...