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Outside-market trade spikes are inevitable using trade tick data because of
the intraday block trades, form Ts, someone not paying attention to his
order-entry screen, or someone deliberately distorting the data, etc. From
looking at the EMC ticks in my Global server on 8/16/01, it doesn't seem to
be any server error, or broadcast error, but trade data from the exchange.
If anyone is interested, I can send you GIF images of the trade, bid and
ask ticks when the spike occurred (I could attach them here but I I'll
exceed the size limit --600K).
Anyway, it's important to monitor the bid and ask data in conjunction with
the trade data, in order to be sure where the market is at the moment. You
can use global variable DLLs / Hashnums, with some combination of a bid/ask
tick chart with 1 minute trade bar charts, for example.
At any rate, I really doubt TRAD will ever come up with a reliable
algorithm to sort out outside-market ticks as in the EMC example.
At 07:02 AM 8/20/2001, -- wrote:
>Customer and Tech support sucks, as well as Data Integrity.
>
>On Thursday, I got a bad tick in EMC, reported it n Monday morning( see
>emc_badtick00). They then fix it, and then revert back to the data with the
>bad tick, saying that they need to verify that it is a bad tick! NYSE,
>Quote.com and Yahoo does not have the high of the day as 17.84 but as 1706.
>
>Today, it is still there on the open (see emc_badtick02.). I then reloaded
>the data and got emc_badtick03 two minutes later. It's a good thing I've
>stopped trading EMC on Friday morning.
>
>With data issues and custormer services like this, imagine opening a trading
>account there and trying to resolve clerical errors.
>
>
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