I have a question about bid-ask spread in an over-the-counter market. I have these data:
i Spread Midpoint Imbalance Ask Bid Total Ask Total bid
7 -1.378094 -0.310953 1.000000 -1.000000 0.378094 0 1
10 -0.482757 1.254740 0.000000 1.013361 1.496118 1 1
11 -1.618707 -0.190646 1.000000 -1.000000 0.618707 0 1
11 -1.618707 -0.190646 1.000000 -1.000000 0.618707 0 1
10 0.635267 0.695728 0.000000 1.013361 0.378094 1 1
8 -2.308588 0.154294 1.000000 -1.000000 1.308588 0 1
5 -2.308588 0.154294 1.000000 -1.000000 1.308588 0 1
where i is the i-th agent that trades. I am considering both limit and market orders. When a market order occurs, ask/bid is equal to -1. However, I don't know if the spread is correct and what means a negative spread. Could you please help me to understand?
Thank you.