Bid/ask spread discrepancies?

Just curious how P123 calculates the bid/ask spread.

The values being returned for spread(0) differ significantly from the spread at my broker and Morningstar quotes, i.e.:

CTG
P123 Spread(0) = 0.07 (assuming this is $0.07)

Broker/Morningstar:
Bid = $0.01
Ask = $6.29
Spread = $6.28

ELMD
Spread(0) = $0.07

Broker/Morningstar:
Bid = $8.00
Ask = $10.00
Spread = $2.00

JCS
Spread(0) = $0.04

Bid = $5.90
Ask = $6.75
Spread = $0.85

These are tiny stocks, <$100M mktcap, but I would like to get a handle on these discrepancies, or how/if spread(0) is calculated differently.

Thanks,
Ryan

Hi Ryan,

Will read better informed posts to come but……

P123 data is the BID/ASK “at the close.” I did not think there was a BID/ASK at the close for the exchanges that have a “cross.” Most exchanges do have an opening and closing cross.

We all get the same price at the open or close whether buying or selling because of the “cross.”. Or we do with some brokers with “at the open” or “at the close” orders. So where does the BID/ASK come into play? It appears there is a BID/ASK for the cross which is obviously different than the BID/ASK during the day. Who understands the BID/ASK for a cross? Not me.

But it seems that the BID/ASK at the close is poorly reflective of the BID/ASK spread during the day, as your data suggests.

In fact, I am certain that the close is not reflective of the BID/ASK during the day; however, they seem to be loosely correlated. I did not know that the discrepancy could be this bad at times.

Again, look forward to better informed ideas.

-Jim

Thanks Jim. To try and make an apples to apples, the broker spreads were taken at close yesterday/before open today.

Those are spreads for after hours trading. Typically, after hours spreads are ENORMOUS, especially for microcaps. To get the true spread during trading hours from your broker, you have to visit your broker’s site during trading hours and look them up then.

You are correct Yuval. I’ve been checking over the day, spread is closer to the values of spread(0) but varies not insignificantly over the day.

So two questions:

  1. How is spread(0) actually calculated? Is it the median/average spread over the day?
  2. Trading these microcaps, any suggestions on time of day to get the minimum spread?

Yuval can correct me if it has changed but it is just the close BID/ASK spread for P123 (not a median or mean for the day). Whatever close BID/ASK is, perhaps the last BID/ASK before the closing cross on many exchanges.

I defer to Yuval and others for their experience on micro-caps.

-Jim

Jim is right - it’s the spread of the very last trade of the day.
Spreads are usually narrowest at market open and market close.