This causes numerous oddities. For one, on my open trades the profit / loss figure in my DOM keeps changing even when price is not changing.
Secondly, indicators get screwed up occasionally. Example: Say price for S&P is "fluctuating" on the charts between 1905.50 and 1905.75 (bid and ask). Then price goes up 0.25 and there are selling contracts at 1905.75 but no buy contracts go through at 1906 before the price drops back to the previous 1905.50-1905.75. The tick charts never show price reaching 1906. That's an anomaly in my books and it affects proper analysis of what's happening in the market.
How does one correct for this?
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