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3

Assume that you collect only bid price. For some time period, you may find that bid price does not move while ask price does. In other words, if your purpose is collecting market movement, then by collecing just one of bid or ask would not generate data you want. Perhaps mid price would be better, or micro price to include some bidq and askq information. For ...


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Sometimes in bloomberg in absense of data the holes might be filled. So the last, bid and ask may be the same item of data. Sometimes in market making you can have same bid/offer or even backwardation where the market makers cannot see each others prices (i.e. have restricted permission visibility) or cannot deal with each other for credit reasons or ...


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Market convention is for a bid-offer on a package. For example, if you ask a dealer for the market on a 25d RR on EURUSD, the BID would be for the dealer to BUY the EUR Call and SELL the EUR Put; and the OFFER would be where they SELL you the EUR Call and BUY the EUR Put. Because you are buying a package, you would normally not have to cross the bid-ask on ...


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