thurdsday 6th March

temptrader · Mar 8, 2008

I was trading the DOW at the time and moved my head away from the screen for a few seconds and moved it back. What happened was a price spike. As you can see the incident occurred around 10:35, it was a hugh 135 or so point spike. What I want to know is if anyone can resolve this for me whether it was rogue data or genuine data, image attached below:

Splitlink · Mar 8, 2008

temptrader said:
I was trading the DOW at the time and moved my head away from the screen for a few seconds and moved it back. What happened was a price spike. As you can see the incident occurred around 10:35, it was a hugh 135 or so point spike. What I want to know is if anyone can resolve this for me whether it was rogue data or genuine data, image attached below:

Don't trade the Dow but here's a screenshot of what I have, if it helps. Can't see any spikes like yours. It's a UK timescale, starting at 1430.

Split

dbphoenix · Mar 8, 2008

No, it's not there. If you toggle to a tick chart and the spike occurs on only one tick, it's bad data.

Splitlink · Mar 8, 2008

dbphoenix said:
No, it's not there. If you toggle to a tick chart and the spike occurs on only one tick, it's bad data.

Right, thanks. That's another tip I've learned from you.

Split

temptrader · Mar 8, 2008

dbphoenix said:
No, it's not there. If you toggle to a tick chart and the spike occurs on only one tick, it's bad data.

I refreshed my graphs and the spike is there (5min and 15min). I am assuming it to be rogue data, but you see this opens a few questions:

1) if it's not rogue data is it possible, within a matter of seconds for the price to do such a strong 135 points jump and a few seconds later jump back down again?
2) who is actually "responsible" for the integrity of the data?
3) are there certain "parties" who would rather that the rogue data be "genuine" data to confuse people?

I'll wait till monday to refresh the graph again. You see the point is, if it was not rogue data then that would have been a clear sign for me that a short was in the offing.

shadowninja · Mar 8, 2008

IG Index once had a 500pip spike. It made the rest of the graph really flat.

They soon got rid of it, though.

dbphoenix · Mar 8, 2008

temptrader said:
I refreshed my graphs and the spike is there (5min and 15min). I am assuming it to be rogue data, but you see this opens a few questions:

1) if it's not rogue data is it possible, within a matter of seconds for the price to do such a strong 135 points jump and a few seconds later jump back down again?
2) who is actually "responsible" for the integrity of the data?
3) are there certain "parties" who would rather that the rogue data be "genuine" data to confuse people?

I'll wait till monday to refresh the graph again. You see the point is, if it was not rogue data then that would have been a clear sign for me that a short was in the offing.

Even if it's only a tick, it'll still show on longer bar intervals. You'll have to change to a tick chart to find out. If it's just a tick, then just edit the data.

Charles Longfellow · Aug 20, 2008

Question: Were stops taken out by the broker when this happened?
Question: Were manual stops exercised by traders when this happened?
Question: Were low value accounts closed automatically at a loss?
The phenomenon of targeted stop hunting is also explored here: LINK
There is also something rarely (never) discussed called "internalization", (see bottom of SITE).

ronblack · Aug 20, 2008

GammaJammer said:
Oh dear.....

Internalization is an issue:

EconPapers: An analysis of brokers' trading with applications to order flow internalization and off-exchange sales

"We study order flow internalization by broker-dealers, and show that, in the free entry equilibrium, internalization hurts retail customers and market quality; "

Ron

Charles Longfellow · Aug 20, 2008

Brilliant! Looks like the paper is from1998, which is probably why it has been buried. The off exchange forex arena is one big internalized hurt machine, and I anticipate this article will objectively verify what every experienced trader already knows. The upside is that informed traders can affect,through nonparticipation in trades that are skewed, both exchange and off exchange trading rules, although exchange rules are already head and shoulders above OTC. Thanks very much for the link, which I will include on my blog.

thurdsday 6th March

temptrader

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