search

algometrica / larytet-master

Automatically exported from code.google.com/p/larytet-master
0 stars 0 forks source link

Data #20

Open GoogleCodeExporter opened 9 years ago

GoogleCodeExporter commented 9 years ago 
There is a single number of observations per day with best bid = best ask.
Usually this data glitch is fixed within 100-500 ms. Need to think how to
filter this kind of data.

Original issue reported on code.google.com by jerusale...@gmail.com on 27 Oct 2009 at 10:28