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Well I can't speak for other market participants as to how they
would interpret anything but I think it's safe to say that many
whom have traded minis for any length of time and compared big
contract charts to mini charts are aware that these spikes take place
on the electronic contracts.
I just take it for granted that they are possible but I never interpret
them as bad ticks. If you are this proficient at coding and have the
concern that such ticks could wreak havoc on your system, you may
want to include the big contract as a data set in your system chart
and find a way to use the big contract data against the mini to define bad
trades. If charting the big contract doesn't suit your fancy, it might be
possible to pull it off using the index itself.
As an aside, let's say you get your code working flawlessly. With your
automatic order entry system, you are 100% dependant on a flawless
technological infrastructure. I don't think we have one of those yet. I
recommend a capable human watchdog be on top of your side of things
at all times. I'm not assuming this escaped your attention but I thought I'd
throw it in just in case.
> >Other market participants will see a spike in prices
> >above current market equal to Delta. They will interpret
> >it as a "bad" tick. Only I will know it was a bug in my
> >EL code.
>
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