I'm sure that you will not like this answer. The exchanges cancelled all
trades on May 6th between 2:40 and 3:00 that were > 60% above or < 60% below
the last print at 2:40 (I'm sure you can find the exact wording on the exchange
website). These changes should have been made in all databases. As a result,
by definition the data left after these adjustments are correct and will not be
further adjusted by the exchanges or data suppliers. As an example, after the
flash crash I know that ACN showed a low of 0 but after the 60% rule was
applied the low was back in the mid-teens. The symbols that were adjusted in
this manner are listed in the attached pdf. I guess this is the equivalent for
trading systems/methodologies of stress testing banks with all of the required
politics and subjectivity ;-)
Bill
----- Original Message -----
From: Richard
To: amibroker@yahoogroups.com
Sent: June 29, 2010 5:24 PM
Subject: [amibroker] May 6th Solution
As most of you are aware May 6, 2010 had some extremely erroneous data
gyrations. Consequently ones database gives questionable results. What is the
best solution to this problem? I tried to reload but the data provider hasn't
corrected his database. Would it be best to just delete that date? If so how
would be the beat way to accomplish?
Dick H
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