Why Intraday Quotes Can Appear Without Trade Prints

Summary

The document raises a market-data question about why intraday bid and ask observations appear through much of the day while trade-price observations are sparse for a particular stock. The example compares 30-minute bid or ask data with 30-minute trade data over several days, using a Bloomberg history query. The reported trade series contains observations only during a limited portion of each day, whereas quotes appear at many more intervals.

The central distinction is that quotes record displayed buying and selling prices, while trade data records executed transactions; a quote can therefore exist in an interval with no recorded trade. However, the document contains only the question and provides no answer. It does not establish whether the observed pattern reflects low trading activity, the instrument’s trading hours, vendor field definitions, or settings in the query. Those details should be checked before drawing conclusions about liquidity or market activity.

Key ideas

• Bid and ask observations can be available during intervals with no executed trade.
• The example reports much denser quote observations than trade-price observations for one stock.
• The document poses the question but does not identify the cause of the specific data pattern.
• Trading hours, data-field definitions, and query settings may need examination before interpreting the series.

Tags

# Intraday Data Frequency for Bid and Ask Prices vs Trade Prices


# Intraday Data Frequency for Bid and Ask Prices vs Trade Prices












When performing the following BDH query for a particular stock:

=BDH("AT0000652011 ISIN","LAST_PRICE","1/3/2023 0:00:00AM","1/9/2023 0:00:00AM","BarTp=B","BarSz=30") for the bid price at 30mins frequency vs

=BDH("AT0000652011 ISIN","LAST_PRICE","1/3/2023 0:00:00AM","1/9/2023 0:00:00AM","BarTp=T","BarSz=30") for the trade price at 30mins frequency,

I get data at various times for the bid or ask price but not for the trade price. For example, when I ran BDH for this stock, each day the trade price is listed only from 1600 to 0030 in 30 minutes interval, but the bid and ask prices are quoted almost the whole day.

My question is - why does the bid or ask price get quoted at (almost all) intraday times where the trade price doesn't?

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