If you are trading options then the following info might be very important for you: https://www.elitetrader.com/et/thre...s-in-the-orderbook.374149/page-5#post-5807186 It basically says that you cannot rely on nor trust the Bid, Ask, IV you get from your data source, rather you have to "re-calculate" them to verify & fix 'em (and they really need to be fixed!). Since it affects Bid and Ask, then of course also the MidPrice gets affected, which is mostly the basis for own orders. But it affects also the IV, so the IV changes as well when Bid or Ask gets fixed. And IV is very important in volatility trading strategies... In the above thread there is a table with real options data plus re-calculated data that shows the differences, and the differences are more than significant when valuing options for trading. Such a re-calculation before using the data is of course best done by computer. I've become an expert in this field. So, you can ask me anything (AMA) about it.