I'm doing some backtest and I can't seem to shake a problem: I get fills on kinda crazy ticks. An example:
It seems that problems like these occur at around 9 am. It's either me entering or exiting on price that seem far off from the market. I enter on the Ask series and exit on the Bid series.
Is this a data issue and is there some steps I can take to prevent this? I'm using Rithmic. I get the same problems for the following symbols: ZS, ZC, ZM and ZW.
Thank you!
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