I'm testing a strategy based on tick data with renko bars, I found a weired data values in my dxfeed historical stream, sometime the data "jump" away from current price with high volume, initially I taught it was data mistakes, when I contacted dxfeed they said it's normal as it's called block trades, theses trades was concluded between parties outside public trading, when applied to renko, it creates a big ladder which obviously incorrect (see right part of the image).
I tried to exclude these trades in the historical data (see left part of the image) but it seems not working, backtesting still show a major hit.
Is there a condition that forbid ninjatrader to really exclude these data ? is it possible to manually completely delete them ?
Thanks

Comment