How Bloomberg Defines the Bid–Ask Spread

Summary

The document clarifies how a bid–ask spread is calculated in Bloomberg data. For a given price source, the spread is the ask price minus the bid price; the answer says Bloomberg does not average prices across sources when calculating that source’s spread. This distinction matters when interpreting downloaded market data, since a reported spread is a difference between the relevant quote values rather than a weighted composite.

The same basic subtraction applies to other quoted spreads, such as the difference between a bond yield and a government-curve yield. The explanation is brief and does not specify Bloomberg fields, quote timing, handling of missing or stale prices, or whether a particular data export applies additional conventions. It therefore describes the general meaning of the field, while users interpreting a specific dataset may still need to check its source and metadata.

Key ideas

• A bid–ask spread is the ask price minus the bid price.
• Bloomberg calculates the spread for each price source without averaging across sources.
• Other quoted spreads can likewise represent the difference between two values.
• The explanation does not cover field-specific conventions or quote quality checks.

Tags

# Calculation of the Bid-Ask Spread on Bloomberg


# Calculation of the Bid-Ask Spread on Bloomberg












I downloaded the bid-ask spread from Bloomberg, but did not check how they calculate them. Is it only the ask minus bid price or is it weighted in a way?

I appreciate your help!

## Answer by Martin Vesely (score 1)

https://quant.stackexchange.com/a/52882

BID/ASK spread always means difference between ASK and BID price. On Bloomberg, the spread is calculated for each price source. There is no averaging.

The same is true for any other kind of spread (e.g. spread of bond yield against government curve). It is simply a difference between two numbers.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.