There is also the issue of aggregating trades that occurred at the exact same time (to the precision given by the data feed) in conjunction with trying to properly detecting this slippage.
Please advise NT. Is it possible to accomplish using only the 1 Tick data series?
I was attempting to do this via getting the previous tick's bid/ask and comparing to the current, but this not correct as it will not detect the cases where in bids/offers are removed thus changing the best bid / ask.
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