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I'm looking through some of the Omega data (TS2000) I have and it
seems like there are some really out of line ticks and I was
wondering if anyone has a method for cleaning these up across the
board for all symbols for a given date range.
For example, in a one minute period, all ticks are 58.15-58.16,
except for one and that one is 58.50 and only for 100 shares. Now,
I've seen this kind of tick price gap happen in real life, but it's
always been for far more than 100 shares.
I've noticed there are other symbols that have these anamolies.
If I wanted to get rid of all ticks that are more than 1% away from
adjacent ticks (on the same day) and that are only 100 shares,
how could I do this? across a group of symbols for a given time
period?
Has anyone done something like this?
TIA,
Cash
"Buy Low, Sell High"
(If this statment is used for financial gain, I am entitled to 10% of all profits. ;) )
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