What is a proper (or commonly used/accepted) way of calculating some spot value with tick data? At the moment I can think of two options:
Take the latest available best bid, latest available best ask and find mid. (Trade represents both best bid and ask at the same level)
Take the latest available trade and consider it as a spot price.
The problem with 1 for me is that spread can change dramatically over time, especially in the beginning of trading which can affect the mid and show unrealistic prices. The problem with 2 is that bid-ask can move significantly without any trades being performed and so latest trade wouldn't represent the market situation any more. If the considered asset is not very liquid there come lots of problems (i.e., no bid available at all). I can think of a few tweaks, but I'm quite sure I'm trying to re-invent the thing and there must be a common solution for it. Is there? I.e., how do data providers calculate minutely prices based on tick data?