Inquiry about constant spread ASK-BID in EUREST1M=TRDL

MGM
MGM Newcomer
edited 1:50AM in Refinitiv Data Platform

Hello, I am Mariachiara Mariani and I have previously reached out to Refinitiv customer service for some questions and doubts regarding OIS tickers in Refinitiv.

We are still investigating these data and we noticed that the series EUREST1M = TRDL exhibits constant spread between BID and ASK for each day over the past year (from 2024-06-03 to 2024-06-02) . Please note that we are looking at intraday data with 1 minute frequency. Hence, for each minute of the considered horizon we obtain a ASK-BID spread = 0.003. Unfortunately, we cannot explain why this would be the case.

Would you have any view or suggestions on this?

Thank you very much for your help and support which we very much appreciate.

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Answers

  • Gurpreet
    Gurpreet admin

    Hello @MGM

    LSEG helpdesk should have been able to help you, since this query is about data content. We can only help answer technical questions on these forums.

    I tried to get the tick history for this instrument, but my ID does not have the permission for it. I could capture the real time data for it, but it is not trading much at all at this time. The only guess is that an autobot at market maker is pushing in multiple quotes and maintaining a constant spread. If you could, maybe try to get the tick data for a period of time and verify.

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