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kevin.guo avatar image
5 ●1 ●3 ●2

Possible bid/ask mismatch?

Hi,

Currently, we are seeing a fairly high percentage of bonds where 'bid price > ask price', and subsequently bid yield < ask yield in our data.


As this is unexpected and likely due to the way data is feeding in to our system, we are unable to determine how to resolve it (ex: in 2014 10% of the bonds had this issue, which is far more than expected.)

I've provided a sample of data we have where bid price > ask price for the company Goldman Sachs below.

We are using the get_data function with the 'Frq' parameter set to 'D' for daily to get this data, and we are wondering why we might be noticing this issue with our data?

We suspect that it might be possible since we are getting daily data, it be that there is a mismatch and we are getting data from different hours (i.e. our ask price value may be from a different hour than bid price when we're getting this data)



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Jirapongse avatar image   Jirapongse

The case is in progress so I extend triage to 1 week.

wasin.w avatar image   wasin.w

<AHS>

The case 08888894 is still in progress, extend triage.

wasin.w avatar image   wasin.w

<AHS>

The case 08888894 is still in progress, extend triage.

wasin.w avatar image   wasin.w

<AHS>

The case 08888894 is still in progress, extend triage.

wasin.w avatar image   wasin.w

<AHS>

The case 08888894 is still in progress, extend triage for a month.

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chavalit-jintamalit avatar image
18.2k ●21 ●13 ●21

Hi @kevin.guo

I can see the same behavior using this code:

df,err = ek.get_data('CA44810ZBF6=',['TR.ASKYIELD.Date','TR.ASKYIELD','TR.BIDYIELD','TR.ASKPRICE','TR.BIDPRICE'],
                    {'SDate':'20160101','EDate':'20200626','Frq':'D'})
df.dropna(inplace=True)
result_df = df.loc[df['Ask Price'] < df['Bid Price']] 
result_df

However, the result is the same as Eikon Excel.

This is Eikon Excel formula:

=@TR("CA44810ZBF6=","TR.ASKPRICE.Date;TR.ASKPRICE;TR.BIDPRICE","SDate=20160101 EDate=20200630 CH=Fd RH=IN",E2)

This is the content question as why ASK PRICE is less then BID PRICE.

I raised ticket number 08896233 on your behalf to Refinitiv Content Helpdesk.

Helpdesk will contact you directly.



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chavalit-jintamalit avatar image chavalit-jintamalit

Hi @kevin.guo

I saw that you have a ticket number 08888894 opened.

The ticket number 08896233 will be closed as it is duplicated to the previous one.

I have asked the helpdesk to find an appropriate group to take care of the ticket 08888894.

Thanks.


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Gurpreet avatar image
22k ●58 ●14 ●21

Hi @kevin.guo,

In the realtime tick-by-tick feed, bid is always less than ask. When these quotes are quantized into buckets, i.e. bars are generated from it, be it minute, hourly, daily bars, usually high/low/average of the bars is a representation of what happened in that interval. This can lead to data behavior that you see here.

If it is important for your application, maybe you should use tick-by-tick data - which is available from Refinitiv Tick History product.

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kevin.guo avatar image
5 ●1 ●3 ●2

hi @Gurpreet.,

so I checked with another one of our developers and I don't think this is the reason why our issue is occuring.

for this hydro one bond, isin: CA44810ZBF68, on 2020-06-16, our bid price matches 23:00 and ask price matches 21:00.


However they are neither the high nor low value for that day, and mathematically it would not make sense for an average of the bid prices for the day to be greater than an average of ask prices for the day, since at any given time instance it should be the case that ask price >= bid price.


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