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

Robert Sams robert at sanctumfi.com
Wed Jul 9 13:09:59 CEST 2008

Hi Eric,

You're right, this is question for Bloomberg, not RBloomberg. 

It is common to see data "errors" like locked markets, etc in Bloomberg
data, intraday and even daily historical. Series from futures exchanges
tend to be much cleaner than OTC data (bonds, swap tenors, etc). 
You can explore other data vendors (e.g, http://www.lim.com/ is
popular), but data errors are probably inevitable whatever you buy. If
your analysis is sensitive to these, you'll need to write some
data-error algorithms. This shouldn't be hard. Check out the NA handling
tools in Achim's and Gabor's wonderful zoo package. 

By the way, if you care to inform Bloomberg about a dodgy data point,
find it on the QRM screen; that way you can grab it and send it to them.
They will fix it, although I personally find it not worth the effort as
I automate the data cleaning on my end using R.


-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Eric
Sent: 08 July 2008 22:50
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] RBloomberg Best Bid Higher than Best Ask


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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