What ticks arrive on weekends and holidays

[Fairman]

What ticks arrive on weekends and holidays

Some brokers publish quotes when the market is technically closed, such as a few ticks on Saturday or during a holiday. These indicative prices are often stale or placeholder values.

In a chart they show up as tiny bars or odd spikes at strange times. In a backtest, they can trigger signals or fills that could never occur in practice.

Cleaning them is generally straightforward. Remove data outside the real trading hours, usually from Friday evening to Sunday evening New York time, and check holiday dates for thin sessions.

The risk is more serious when data from different time zones is merged, or when daylight saving shifts push the weekend boundary by an hour, leaving ghost bars at the start of the week.

A look at the first and last bars of each week in the dataset exposes many of these issues quickly.

Brokers also sometimes put out one or two quotes at the Sunday open before the real market starts, with spreads that look absurd. Those ticks belong in the bin for backtesting purposes.

What oddities have turned up in the weekend or holiday data when it was inspected?