Broken Prices in Sterling

Discussion in 'Automated Trading' started by clearinghouse, Oct 26, 2012.

  1. Do any of you guys ever get weird situations in Sterling where the prices are just flat out wrong, maybe by 1 tick? I've been running the same build of my code for months and today, I was getting flaky prices, had the wrong NBBO in some symbols, and in other symbols, it was perfectly fine.

    I changed price servers and things got better, but I took a mild loss and accumulated my max position in a few symbols and had to dump at a loss before I caught the erroneous price.

    This is the first time it's ever happened to me on this platform.
  2. Another tidbit: The erroneous prices all happened in symbols that started with A, and BATS seemed to be the screwed up exchange on all the "A" symbols.
  3. jb514


    I don't use sterling but it sounds like a rounding error.
  4. I can rule that out because the integer book sizes were also wrong.