Filtering bad prints?

Discussion in 'Automated Trading' started by bellman, Oct 5, 2010.

  1. bellman


    How do you filter bad prints from a data set? What does the logic look like? Do you filter as the data is printing or at a later time?

    How can I improve the following algorithm?

    if((price x - price y)/price y) > .05)
    filter out bad print