maximum difference or ratio between 2 consecutive bid/ask
by "tommaso.gastaldi@[EMAIL PROTECTED]
" <Tommaso.Gastaldi@[EMAIL PROTECTED]
>
Apr 30, 2008 at 10:29 AM
Hi. I need to remove possible outlier in bid / ask due to possible
transmission
errors over the internet of the price tick events, in an automatic
trading system I am tuning.
I'd like to ask your opinion about what is the most reasonable
choice for
a threshold beyond which I should discard the values.
For instance if BID > previous BID + 1% previous BID or
BID < previous BID - 1% previous BID
then discard the last BID event. Same for ASK.
Here I have used, by example, a 1% threshold and the ratio of
consecutive values.
Based on your experience, what do you think is an appropriate value
for the threshold, in order to spot
say "impossile" values, which can be attribute almost certainly to
transmission errors ?
Any idea or suggestion is much appreciate.
Thanks a lot.
Tommaso