Crossed bid/ask or stuck quotes

Discussion in 'Automated Trading' started by camkego2, Jul 18, 2008.

  1. camkego2


    Crossed markets

    Hi everybody,
    I'm working on some trading algorithms, and I'm currently using Interactive Brokers for both data and brokerage.

    One thing I'm noticing problematic is crossed quotes that hang around for a long time (minutes, or even hours...)

    I suspect they are from exchange's that have a hung order, or something similar.

    I guess my question is, is this something specific to Interactive Brokers, or something I have to deal with any market data feed?

    My trading algorithm needs an accurate 'tradable' inside bid/ask to work correctly.

    If it is something that actually exchange wide, and a common occurrence, it sounds like look at the book deeper than the inside bid and ask, and filter out the stuck quotes.

    Does anyone know of any standard or published methods for filtering stuck quotes to capture the true inside bid/ask spread.

    Also, how often should I expect to see these on NASDAQ equities?

    (I can think of the few ways to do it, but it wouldn't surprise me if better mathematicians me have developed a more robust filter for these quotes)

  2. Coder2


    Hello Cameron,

    The only way that I could get around the issue was to compare the IB prices to a second data feed before sending the order.

    Very frustrating to say the least.....

  3. The issue is most likely with IB's data since I almost never have stuck or crossed quotes.