Cleaning of high-frequency data

In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf.

https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x

in the section dedicated to data cleaning the authors suggest:

Retain entries originating from a single exchange (NYSE in our application).
Delete other entries.


It is related to both Trades and Quotes data.

Why shouldn't we consider the data from other exchanges?

• hi: tickdata is very messy to deal with ( many things can happen such as cancellations, timestamps of the ticks can be weird etc ) so, by restricting their analysis to the ticks of one exchange, the messy-ness of the tick data decreases. but it's still messy. most likely they are talking about trades because quotes, as far as my experience goes, are less messy. but for the same reason, they may be talking about quotes also ? – mark leeds Jan 30 at 14:49