Trade data w/o Bid/Ask quotes is useless/worthless

[Quanto]

Any feedback on the best time to sample the bid/ask? Some vendors seem to do that immediately (ie seconds) prior to the close, whereas others are 15/30 mins prior to close...

I'm making snapshots every 15 minutes.
I think it should not be in the last 10 minutes before market closes, b/c many people will manually cancel their orders towards the end of the regular market hours. Of course DAY orders will be automatically cancelled at market close.