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> Stocks: NYSE TAQ database: raw L1 tick stock data
> ( not clean / scrubbed ),
That's an understatement. A friend of mine bought some TAQ data and
asked me to help him scrub it. It was a mess. There were plenty of
times when there were far more BAD ticks than good ones!! Which
makes it darn hard to sort out the junk from the real data. I
finally ended up writing a Perl script to scan through the "Trade"
database and the "Bid/Ask" database, and only accept trades that were
within a certain amount of the bid/ask range. What a pain.
It's hard to believe they can get away with selling crap data like
that. And that they couldn't be bothered to scrub it themselves.
Gary
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