I tried to find out how that setting works, but couldn't find much info (forum, help in NT7).
My best guess is that it works like this:
Let's assume I set the threshold to 0.5%. The market trades at 100.00$ (several ticks). Now the next tick comes in at 100.65$ and will be ignored, because it is more than 0.5% away from the last price, right?
What I could not find out is what happens when 2 (or more) consecutive "bad ticks" come in. To continue the example from above let's say the next tick has a price of 100.95$. Will it be ignored or not?
a) It will be compared with the last "valid" tick at 100.00$ and since it is more than 0.5% away it will be IGNORED.
b) It will be compared with the previous tick at 100.65$ (which was ignored), but since the difference to 100.65$ is below 0.5% this tick will NOT be ignored (=> price will jump from 100.00$ to 100.95$).
Could you please clearify what would happen and what the rules for that setting are?
Thanks,
NutFlush
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