"另一方面和市场数据组（Market Data Team）联系，让他们追查错误数据的来源并设法将它们清除掉。" -- why? I thought the Flash Crash has nothing to do with market data error. Censorship applied to market data?:-)
-cca(不归的如来佛);
2011-12-9(#7134036@0)
Bid/Ask crossed ( e.g. Bid $11 Ask $10)
-vicky2005(孩子她爹);
2011-12-9(#7134053@0)
But why would that be 错误数据? Market data just reflects the market, whether it's "politically correct" or not. In a way, crossed market info would be useful for you, as it presents an arbitrage opportunity isn't it?
-cca(不归的如来佛);
2011-12-9(#7134165@0)
I think he meant that bid was higher than ask, there must be something wrong in market data. Maybe some systems can't handle very high throughput, so that the consolidated FEED mess up.
-york_region(york_region);
2011-12-10(#7134271@0)
I understand what crossed market means - as much as an anormalie, it does occur esp under high volatility conditions. Instead of dismissing it as a data error, you could seize the golden opportunity to buy from the low sell and sell to the high buy.
-cca(不归的如来佛);
2011-12-10(#7134300@0)
You can't buy low sell high with this setup. It moved so fast that when you send in your next order, even the next mini-second, bid/ask could already be down a few dimes.
-wincity(红卫兵);
2011-12-10(#7134321@0)
It's certainly too fast for fat-finger traders at home:-) -- but what about ultra low latency colocated auto trading engines?
-cca(不归的如来佛);
2011-12-11(#7135778@0)
The market was just not tradable, what you see is not what you can trade. When you see crossed market, 99.99% is too good to be true.
-vicky2005(孩子她爹);
2011-12-10(#7134431@0)
Still it shouldn't be considered a data error -- but that's not important -- thank you for sharing and looking forward to more.
-cca(不归的如来佛);
2011-12-11(#7135776@0)