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Bloomberg provides PX_BID and PX_ASK on a daily basis, but it's not clear exactly where these numbers come from. Are they closing bid and ask prices, or are they averaged over the entire day? For stocks, are they pulled directly from Nasdaq/NYSE dealers/specialists? Also, if anybody knows, were they pulled from the exchanges even before Regulation NMS?

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PX_BID and PX_ASK are the static equivalents of BID and ASK, the latter two of which populate in "real time" (i.e. as they are dynamically updated). So the PX_BID and PX_ASK values are dependent upon when you pulled the data.

Bloomberg's source depends on the asset in question and the exchange on which they are listed, but the data does come from the exchange, an associated MM, or an ECN initially. I'm not sure about data pre-Reg NMS.


Perhaps a sidebar, but something that might be of interest: because there is less incentive to reduce publishing delays for trades relative to quotes (i.e. since trade delay allows transient post-hedge advantages for the traders, while old quotes are penalized), trades are more stale than quotes. This could account for unusual PX values for last trade vs. the quotes. However, propagation delays in quotes can also be significant, often artificially reducing the NBBO given a delay-induced offsetting effect, which sometimes shows a locked or crossed market. This should also be considered when pulling quotes.

You might find Rosenthal (2011) useful, as well, if you are interested.

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They represent the current BID and ASK at the time you query them.

If you look up those fields in the terminal FLDS<GO> you will see they are marked as reference data, that means they are not continually updated.

They are refreshed each time you query them. They come from the NBBO quote at the time you query them.

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You said that the PX_BID and PX_ASK values are dependent upon when you pulled the data. But if I pull historical data (e.g. for the last month) only the value of today would be changing but not the past ones... So there should be a point of time when the final PX_BID and PX_ASK values for a day are calculated. Or am I wrong?

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For historical data they are the latest bid and ask prices (ie the closing bid/ask prices):


Source : From bloomberg documentation :

PX_BID

Also available as Historical field

Highest price an investor will accept to pay for a security.

Fixed Income: This will return the last available bid price.

Loans: The price at which an investor offers to pay to purchase all or part of a loan.

Equities:

If the market is closed, this will return the last bid from the last day the market was open. If the market is open, and there is not a bid in the market, this will return 'N.A.'

PX_ASK

Also available as Historical field

Lowest price a dealer will accept to sell a security.

Fixed Income: This will return the last available ask price.

Equities:

If the market is closed, this will return the last ask from the last day the market was open. If the market is open, and there is not an ask in the market, this will return 'N.A.'

Economic Statistics: Provides the current release of statistic.

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