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Robert,
Fast data is not a single tick.
It is a signal from the exchange that special market conditions are being
invoked ("orders not held", "no limit orders", etc).
Fast Market conditions will be in effect until they are signaled normal
again.
I assume that there is a "S" (Slow) for a return to normal?
These ticks should not be excluded.
Also, you have mentioned some special handling of "A" and "B" ticks.
Some data feeds do not include them. They exist because the pit clerks use
a steno-typewriter that records the activity in the pit. When a market
reachs a swing point, the bid or ask will not get filled, and so it leaves
an "orphan" tick on the ticker tape. No orders will be filled at that
price, but it goes out on the data feed because the clerk recorded when
he/she saw it offered.
This makes a difference when limit or stop orders are being filled, because
they become market orders when the price is OFFERED.
That is my understanding. So it might make a difference depending on how
you trade the market, and depending on which protocol your data vendor uses.
Eric Svendsen
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