I have a tricky question to ask you, for ODDSALCOND in the pre-market and post-market we did not do rejection treatment, occasionally spikes will appear, such as shown in the figure, and we received data from Reuters as:
timestamp : 1609249647286, utcDate: 2020-12-29T13:47:27.286+0000
{"respType":"TRADE","symbol":"SPY","msgType":"MsgType.UPDATE_RESP","ACVOL_PRE":"61101","indicationFlags":"DO_NOT_CONFLATE","PRC_QL2":"147","NA_MSG_TYP":"T","NCHNG_PRE":"0.0000","ODD_TRDID":"0000A00IR7","_src":"TR","ODDTIM_MS":"13:47:27:259","secType":"[1]","tickerType":"3","ric":"SPY.NB","tid":12205858,"ODD_TRDVOL":"95","ODD_PRC":"372.1700","NUM_MOVES":"504","ODD_VOLUME":"5700","exchangeCode":"PSE","RETRAN_IND":"1","dataType":"NORMAL","ACVOL_1":"187023","etlTime":"2020-12-29T13:47:27.286+0000","exchangeId":"34","PCHNG_PRE":"0.00","realTimeType":"R","regionId":"6","ODDSALCOND":"@ To","ODD_EXID":"1354","gtid":"SPY12205858","etlTs":1609249647286,"tickerId":"913243251","ACVOL_UNS":"187023","PRC_QL_CD":"167"}
If now we want to exclude odd stocks with too much price deviation but not reasonably priced odd stocks, what is your best solution to this problem?
@zhouhao
