Registered: Feb 2006
10-25-12 01:35 PM
Quote from tobbe:
Here's an article on "tick data" and "quality". Worth reading, even though it's from a vendor:
One reason I use tickdata.com .
That is something I can't really understand. If bad tick data is coming from the exchange because of whatever error, I don't want that to be filtered, as bad data will always come in the real case as well. And I can't possibly understand what other factor can cause bad tick data. It's a data stream coming from an exchange isn't it? Just raw data, and timestamped. How can you possibly get it wrong?