On backtesting strategies, they can cause otherwise profitable strategies to seem unprofitable, due to getting erroneously stopped out. I have several questions I am trying to answer with regard to this issue, and what to do about it.
1) Are these data spikes actually block trades? And if so, are they reported in "real time" e.g. on the live data feed? Or do they only appear on historic data?
2) what workarounds have people implemented for this? Esignal data? Setting the exchange to a secondary exchange?
Thanks
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