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justinh

1,220 Posts.

32

13/03/18

08:22

Post #: 31703275
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Originally posted by Jako8557 ↑

Yes I ignore large off market crossed trades, but no I don't remove them.
I tried for a while, but the workload was too much, and there was not an easy way to clean up the data.
After a while you get an 'eye' for the anomalies to ignore, usually it will be a very high volume spike, but without the expected spread or range that usually goes along with very high volume like that, and following that - without the expected subsequent price action response.

I don't see truly corrupt data very often now, however if I see an unusually wide spread which doesn't make sense, firstly I reload the data, and that doesn't fix it, I check other data sources and compare with what I have. I rarely see this very often anymore, although from time to time I do see it from eSignal (particularly intraday), but it is usually corrected fairly quickly. Once again, it is often pretty obvious something is not right, and you will be suspicious pretty quickly.

Generally volume and spread are a proxy for each other, so high volume and wide spread (or range) is what is expected, and the inverse low volume/narrow spread. When this changes, it is either something important, or something is not right.......

cheers

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And what do you do with the chart if there's one massively long price bar which "miniaturises" all the other bars so they lose their proportions with each other?
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