Tell me more ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.
up vote 3 down vote favorite
1

I am using ITCH protocol to get the Market Data information for Forex and trying to implement LOB on it and what i have noticed is that Bid and Ask prices are crossing very often. Should that be happening in the normal circumstances for Forex trading? or Raw data from the ITCH data stream has to be filtered first manually?

share|improve this question

1 Answer

up vote 2 down vote

Where are you sourcing your data from? In the equities markets you will see crossed/locked markets at the NBBO if consuming direct feeds from each venue. You typically will not see it at a specific venue, however there are circumstances where you will (for example, NYSE pre-open or during LRP, etc).

For FOREX I'd assume crossed/locked markets would be significantly more common since there is no central exchange or book, but rather a collection of books and market makers.

As an aside you reference "ITCH" so I presume you're taking data from some FOREX broker who's using ITCH to broadcast book changes. When referring to ITCH 99.99% of the people in the world assume you mean NASDAQ markets.

share|improve this answer
Actually i am working on "Hotspot ECN ITCH Protocol v1.57" – Taimoor Choudhary May 10 '12 at 10:59
Where did the data come from? Did you collect it yourself or receive it from Knight? Are there gaps or out of order messages in the data? Data cleanliness could be an issue that you should investigate. I don't know how HotSpot works, whether it does automatic matching, etc, so you should contact them to see if the crosses are artifacts or real. – Louis Marascio May 10 '12 at 15:56

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.