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Bob -
That is an interesting logic problem. I would strongly lean to the idea
that the cleaned data is ultimately what counts. First of all, if there
are small bad ticks, they are not going to affect many systems, or the
psyche of the market and its traders. If there are clear silly ticks,
then the market sort of ignores it anyway.
The other point that he made was that he is cleaning the data at night.
That means he is using intraday data to look forward to the next
session. By that point, everybody has the corrected info anyway, meaning
it is only the clean data that would make sense.
Sherlock out.
Bob Fulks wrote:
Make me wonder why you think you need clean data. If the data you get
real-time is "dirty" (and it is), then what good is a trading system
that
only works on clean data.
Wouldn't it be more appropriate to have one that works on dirty data
since
that is what is available in real-time?
Bob Fulks
--
Steven W. Poser, President
Poser Global Market Strategies Inc.
http://www.poserglobal.com
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