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I've watched this renegade tick phenomenon for quite a while. From what I
can tell, it occurs primarily in the high volume, volatile NASDAQ Stocks--
particularly the ones that Gap Up or Down on the Open. If you look at MER,
GTE and some other fairly heavily traded Stocks on NYSE or AMEX, the
renegade quotes don't appear.
I believe these ticks are a combination of trades that are posted late as
well as some erroneous entries by the clerks that punch the data into the
terminals -- particularly around the Open, Close, and other abnormally
active periods during the day. I've often thought that a floor trader might
easily slip a data entry clerk a few bucks during the day to enter erroneous
ticks and thus screw up the charts of millions of arm-chair traders around
the planet. Stranger things have occurred, I'm sure.
It would be nice to have a tick monitor running in real-time that would
eliminate any tick outside of a user-defined threshold, but apparently it
only exists on a vaporware wish-list at this time.
I try to stick primarily with analyzing and trading and NYSE, AMEX, and less
active NASDAQ Stocks for this very reason.
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At 06:02 PM 7/15/98 -0700, you wrote:
>>> I've had occasion to look at some intraday stock data for several major US
>>>stocks.
>>> So far, *all* of it has been interspersed with sudden and wacky price moves.
>>>At first I thought they were just erroneous ticks, but they're too frequent
>>>and consistent for that. I've since learned that they are late reported
>>>trades, and are particularly common during the opening half-hour of the
>>>stock's trading.
>>
>>
>>I use TradeStation since early 1992 and collect french stock data since the
>>very beginning, using S&P Comstock datafeed.
>>
>>I have had some sparse bad ticks, but never encountered such problems.
>>These bad ticks come either from the exchange or from the data or seldom from
>>the dataprovider.
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