Hello Cloppa,
You indeed are new to forex. I suggest you do some reading on the nature of these markets before jumping in head-first.
I am Anthony Ingrassia, an NFA registered CTA ID#: 0278164. There are several reasons for this particular discrepancy.
I will attempt to briefly cover these:
1- The forex market is an OTC (Over-the Counter) market. There is no central clearing house or exchange where all offers and bids are posted for all to see. Each market participant posts it's own bid and ask, and when discrepancies between liquidity providers occurs, they are usually quickly arbitraged by sophisticated, automated players.
2- The 5-minute charts you provided are for Wednesday, July 25, 2012, within 5 minutes of rollover time. Rollover is the time each business day when on the books of all firms ownership is recorded and the overnight interest payable is booked. The Swap Rate is the interest due or payable for holding each currency long and short in the pair, overnight.
3- Being a Wednesday, the swap rate is payable for 3 days overnight , not just for one day, as on any other night. The reason for this is that there is a 3 day settlement period for the payment of interest; so therefore on Wednesdays, the interest from the prior weekend (Friday, Saturday, and Sunday overnights) comes due and payable. This magnifies the effect, and provides holders 3 times the reason of any other day for remaining in, or not on that rollover.
4- Rollover is set at that time because the banks in all major zones of the world have completed their business day. Asia, the first to open on Sunday nights in the US, is on a Monday business open time and begins the week. ~8 hours later the London market opens, then later the US market opens. All three have closed by 5 pm NY time; which is this rollover moment where swaps rates, ownership, and net interest payable are set in stone on the books of all banks for that day. The cycle then starts again for Tuesday, etc., until NY closes on Friday and the week ends.
5- Because of these rollover events, market participants must make up their minds about holding or not each day in advance of the deadline, and do so with the vast majority of banks closed. This means traders at that time face poor liquidity. When liquidity is poor, broker-dealers and bank trading departments that service retail clients 24/5, widen their spreads because there are few participants and much uncertainty about being able to hedge or exit any unbalanced position they might assume to meet the retail trade volume. For providing liquidity, they will insist on being paid wwhat the market will bear. During periods of high liquidity they must narrow their spreads to be competetive, or risk losing business.
.
What you see in the Saxo chart is likely one of their dim-witted clients trading at 5 minutes before rollover, desperately taking the bank's widely placed offer at that time, to get out of having the triple swap rate event hit their books. If you examine the 1-minutes chart with volume, you will see the wide swing on nearly no volume. Unfortunately, anyone caught with Stops within that range at that firm gets their clock cleaned as well. This is how banks and brokers make their money. You'd better be aware of it and know how to widen your stops appropriately in advance of Daily, and Wednesday rollover events, and the Weekend gap.
.
Regarding Saxo: They are a privately held bank, not a public company, and are an aggressive forex market participant making book in spot forex, but are also a principal player in the emerging world of "Options on Spot Forex" market. They provide liquidity to the interbank market. Some broker dealers are exposed to Saxo's quotes as part of their liquidity stream, while others using different liquidity providers, are not. As a result, one-off spikes on one bank's books may or may not be reflected on intermediary companys' quotes. This occurs because first, broker-dealers cross their orders internally, customer-to-customer, then against the broker's own book, before going to the liquidity providers. Only true ECN/STP brokers pass your trades straight-through to the liquidity stream, and for gaining that access to the best inside spreads, you pay a commission to the broker for the service they provide, rather than experience the brokers wider spreads. Pick your poison.
.
One more note about volume. In forex, unlike other markets, Volume is not really representative of the number of contracts, shares, or dollar value transferred. Instead it is really reflective of "The Frequency of Price Changes", plus is limited to the specific broker dealer you use. Since it is not at all representative of the size of the trade, there is no real correlation between it and the magnitude of price movement. It is more an instantaneous activity meter, rather than a money flow indicator as is true in other markets. So in the case of this spike, it very well could be that the trade was a single sizeable lot from one large holder, forced to accept a poor quote because of bad planning and poor liquidity, but would only be shown as a 1-count toward the volume, no matter how large or small the given transaction was.
.
I hope this helps explain the view from the dark side of the moon.