[R-SIG-Finance] RBloomberg Best Bid Higher than Best Ask

Eric Owiesny eowiesny at allstontrading.com
Tue Jul 8 23:50:11 CEST 2008


This is more a question about Bloomberg than about RBloomberg, but I've 
been unable to get a good answer out of the Bloomberg people so I was 
wondering if anyone else had run into similar problems.  I've been 
gathering intraday data on several Equities from Bloomberg using 
RBloomberg with the fields of BEST_BID and BEST_ASK, barfields of OPEN 
and LAST_PRICE, and barsize of 1 minute.    I saw mentioned in an 
earlier message on this list that BEST_BID and BEST_ASK are better than 
BID and ASK as fields and have generally found that to be true myself as 
well.  I've noticed that sometimes using these gives BEST_BID as being 
higher than BEST_ASK for both the open and last price.  For example, 
using the symbol ATPG the last price BEST_BID at 04/16/08 09:20:00 is 
31.05 while the BEST_ASK is 31.01.  I'm curious about the degree to 
which I can trust the Bloomberg data and whether anyone has seen a 
decent explanation for this.  I hope that this question is more about 
Bloomberg isn't a problem for this list.  If it is, I apologize.

Eric Owiesny

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