I'm working with high frequency FX data. Because the FX market is a decentralized market, different traders often have slightly different prices at the same moment. I can see how this would potentially affect data quality, and I remember reading some work in which the author dismissed the use of ask quotes as being low quality data, so they only used bids. I'm afraid have forgotten who/where this was.
My question is: is it a common perception in literature that high frequency FX ask quotes are no good, and would you have any references for me that make this point?
EDIT: I've not yet accepted an answer, because I am looking for a reference that makes the point either way.
Answer
I think that is coming from the bond market where there in the past has been the idea of "marking to the bid". People would usually ask for a two-way-market and most of the time they would be expecting that the bid would be hit.
With FX data you are looking at actionable markets so they are all good.
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