Working with High-Frequency Tick Data — Cleaning the Data

Tick data is the most granular high-frequency data available, and so is the most useful in market microstructure analysis. Unfortunately, tick data is also the most susceptible to data corruption and so must be cleaned and conditioned prior to being used for any type of analysis.

This article, written by Ryan Maxwell, examines how to handle and identify corrupt tick data (for analysts unfamiliar with tick data, please try an intro to tick data first). — The Encyclopedia of Quantitative and Algorithmic Trading Strategies