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.
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.
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.