I computed the ask-bid spread for ZN in three different ways using Ask and Bid historical data files.
1) Ask[ask price]-Ask[bid price]
2) Bid[ask price]-Bid[bid price]
3) Ask[ask price]-Bid[bid price]
Using the same timestamp, 1) and 2) yielded mostly 1-tick spreads. However, 3) is yielding twice as much spread, that is 2-tick spreads. I have been struggling with the differences between two types of files (Ask and Bid) and there seems to be some differences in bid and ask prices (between the two files) that I have not been able to understand from the explanations received here.
Here is an example for the exact same time stamp:
ZN_ASK:
last price 126.562500
bid price 126.562500
ask price 126.578125
volume 1583.000000
Name: 2017-06-16 02:56:16.238000-04:00, dtype: float64
ZN_BID:
last price 126.546875
bid price 126.546875
ask price 126.562500
volume 1035.000000
Name: 2017-06-16 02:56:16.238000-04:00, dtype: float64
Why are these values different for the same given time stamp (Name: 2017-06-16 02:56:16.238000-04:00, dtype: float64)?
Thank you!
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