Registered: Dec 2008
10-25-11 11:08 AM
I’d like to test my understanding of “bad ticks” …
See the longest candles in yesterday’s 30-second chart for SPY (all times are EST) attached. This data was not recorded in real time, but downloaded today from eSignal. Some of these longest candles occurred during Regular Trading Hours (09h30 – 16h00 EST), some before, some after.
Q1 - What are these very long candles (“bad ticks”)? I understand them to be trades (probably large trades, “block trades”?) made “off the exchange floor” (negotiated directly between “block dealers” and their clients?) and reported to the exchange some material time after the fact. Is this correct?
Q2 –“Bad ticks” of the type referred to above occur in equity markets, but not in futures markets (as “block trades” of the type described above are a feature of equity rather than futures markets?). Correct?
Q3 - What rules might one use to "clean" "bad ticks"?
spy 10_24_2011 (30 seconds).jpg
This has been downloaded 166 time(s).