Study to Filter out Bad Ticks/Gaps/etc.

[Val Clancy <valclancy@xxxxxxxxxxxxx>]

List,
I am writing a little EL routine to filter out bad ticks as
well as gaps in data, etc.
Bad ticks - spike high, spike low, zero low.
Gaps in data - missing data for continuous period of time.
This routine will find the above, flag it , tag it, print and file
append
and the main thing - stop the execution of the system on that
bar(s).
Anyway, my line of thought is to build bands around the price
with the idea of if price falls out of the band - means bad tick.
I figured the value of the band could be anything more then
5 times the STD of  price, considering log normal distribution.
Gaps I figured could be detected through time and volume.
If volume is normal and then all of sudden the next bar is missing
based on time - gap.
If any of the above happens the flag will be used to stop the
execution of the system on that bar and in case of the missing
data will exit or generate protective stop...
Questions:
Has anyone wrote anything like this?
Any suggestions? Any insights?
Val.