As you know, when markets are a little illiquid, sometimes can experience radical or abrupt price changes, easily in more than one of the instruments TickSize. So, imagine you have an Algo that works with tick data, I mean tick by tick, then suddenly, you receive a new tick that is actually, let's say, 10x the normal TickSize; so if you had an Algo that needs to process one TickSize change, what if:
- I set a "while Loop" to process all ticks between the abrupt change.....What would it happen with all new Tick data, is there any kind of buffer to wait when the While-Loop is finished?
I'm trying to test it, but I must be missing something.
Thanks
Comment