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Strategies & Market Trends : Technical Analysis for Macintosh Users
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From: quant2114/29/2022 5:40:04 PM
   of 1541
 
Well, RATS. I keep finding cases where the intraday data is screwed up, and then corrected. I found a case where the 1 minute data didn't update for about 3 minutes, and when it did, my algorithms were screwed up, only to be corrected after 10 or 15 minutes. It is hard to track down an intermittent problem like this, but my current theory is that it will only show up on tickers that trade low volumes < 3 million shares a day. I think the problem is in the quote data from the exchange. The errors in my algorithms persist for about 10 to 15 minutes in the worst case I have seen. I've seen errors on the 5 minute charts that persist for about 15 minutes. I'm restricting my trading to tickers that trade at least 10 million shares a day, based on research I have done so far.
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