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I'm using AB with IB datafeed and get spikes every now and then on SPY
1-minute bars. Today i got a huge spike low of ~$40 while SPY trades
~$140. My AB-based autotrading system started giving out totally bogus
buy/sell signals. I understand that if a spike occurs in my datafeed,
i will not be able to use AB's QuoteEditor to fix the spike for 3 bars
since the spike is in the plugin cache. During this time, all the
damage will already be done.
In the absence of a built-in spike removal tool in AB, what is the
best way to prevent spikes from affecting an AB-based autotrading system?
Thanks a lot
g
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