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  • Odd Lots Put Untradeable Prices in Your Minute Bars

    Odd Lots Put Untradeable Prices in Your Minute Bars

    Odd lots and off-exchange prints set the high or low of 59% of one-minute bars since 2014, leaving…

    Daniel Gatto

    Daniel Gatto

    Daniel is a quantitative researcher, software engineer, and published author specializing in market microstructure and algorithmic trading. His research ranks among the top 1% of authors on SSRN by downloads.
    Daniel Gatto

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    8 min read (+ ~1 min to review code)