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

[Eric Owiesny]

Hello,

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.

Thanks,
Eric Owiesny

------------------------------------------------------------------------------------------
This message is for the named person(s) use only. It may contain confidential proprietary or legally privileged information. No confidentiality or privilege is waived or lost by any mistransmission. If you receive this message in error, please immediately delete it and all copies of it from your system, destroy any hard copies of it and notify the sender. You must not, directly or indirectly use, disclose, distribute, print, or copy any part of this message if you are not the intended recipient. Allston Trading LLC and its subsidiaries and affiliates each reserve the right to monitor all e-mail communications through its networks. Any views expressed in this message are those of the individual sender, except where the message states otherwise and the sender is authorized to state them to be the views of any such entity.