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Even further investigation shows bid and ask data feeds were switched at some point in time, simply switching them back should remove negative spreads
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user20644
user20644

I'm working with high frequency FX data. Because the FX market is a decentralized market, different traders often have slightly different prices at the same moment. I can see how this would potentially affect data quality, and I remember reading some work in which the author dismissed the use of ask quotes as being low quality data, so they only used bids. I'm afraid have forgotten who/where this was.

My question is: is it a common perception in literature that high frequency FX ask quotes are no good, and would you have any references for me that make this point?

EDIT: I've not yet accepted an answer, because I am looking for a reference that makes the point either way. In addition, further investigation has revealed a significant amount of negative spreads (bid exceeding ask), which (to me) clearly indicates a data quality issue.

I'm working with high frequency FX data. Because the FX market is a decentralized market, different traders often have slightly different prices at the same moment. I can see how this would potentially affect data quality, and I remember reading some work in which the author dismissed the use of ask quotes as being low quality data, so they only used bids. I'm afraid have forgotten who/where this was.

My question is: is it a common perception in literature that high frequency FX ask quotes are no good, and would you have any references for me that make this point?

EDIT: I've not yet accepted an answer, because I am looking for a reference that makes the point either way. In addition, further investigation has revealed a significant amount of negative spreads (bid exceeding ask), which (to me) clearly indicates a data quality issue.

I'm working with high frequency FX data. Because the FX market is a decentralized market, different traders often have slightly different prices at the same moment. I can see how this would potentially affect data quality, and I remember reading some work in which the author dismissed the use of ask quotes as being low quality data, so they only used bids. I'm afraid have forgotten who/where this was.

My question is: is it a common perception in literature that high frequency FX ask quotes are no good, and would you have any references for me that make this point?

EDIT: I've not yet accepted an answer, because I am looking for a reference that makes the point either way.

Update
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user20644
user20644

I'm working with high frequency FX data. Because the FX market is a decentralized market, different traders often have slightly different prices at the same moment. I can see how this would potentially affect data quality, and I remember reading some work in which the author dismissed the use of ask quotes as being low quality data, so they only used bids. I'm afraid have forgotten who/where this was.

My question is: is it a common perception in literature that high frequency FX ask quotes are no good, and would you have any references for me that make this point?

EDIT: I've not yet accepted an answer, because I am looking for a reference that makes the point either way. In addition, further investigation has revealed a significant amount of negative spreads (bid exceeding ask), which (to me) clearly indicates a data quality issue.

I'm working with high frequency FX data. Because the FX market is a decentralized market, different traders often have slightly different prices at the same moment. I can see how this would potentially affect data quality, and I remember reading some work in which the author dismissed the use of ask quotes as being low quality data, so they only used bids. I'm afraid have forgotten who/where this was.

My question is: is it a common perception in literature that high frequency FX ask quotes are no good, and would you have any references for me that make this point?

I'm working with high frequency FX data. Because the FX market is a decentralized market, different traders often have slightly different prices at the same moment. I can see how this would potentially affect data quality, and I remember reading some work in which the author dismissed the use of ask quotes as being low quality data, so they only used bids. I'm afraid have forgotten who/where this was.

My question is: is it a common perception in literature that high frequency FX ask quotes are no good, and would you have any references for me that make this point?

EDIT: I've not yet accepted an answer, because I am looking for a reference that makes the point either way. In addition, further investigation has revealed a significant amount of negative spreads (bid exceeding ask), which (to me) clearly indicates a data quality issue.

Source Link
user20644
user20644

What is the data quality of ask (offer) versus bid quotes in FX markets?

I'm working with high frequency FX data. Because the FX market is a decentralized market, different traders often have slightly different prices at the same moment. I can see how this would potentially affect data quality, and I remember reading some work in which the author dismissed the use of ask quotes as being low quality data, so they only used bids. I'm afraid have forgotten who/where this was.

My question is: is it a common perception in literature that high frequency FX ask quotes are no good, and would you have any references for me that make this point?