Thank you Dan.
Because we can not put in a trailing stop and a limit sell order at the same time I use my algo to manage risk. This has advantages over a trailing stop, but if the data feed gets stale it is a real mess for my algos. Is there an active system that checks the integrity of the data feed and alerts your engineers when there is an issue? I have integrity checks on the buy side of my system but not on the risk management side as in the past when the indicative feed failed it was down with no intermittent good data pulls.
I am comfortable using the indicative data feed, it is good for what I am doing but I don’t want to write a bunch of code to check its health through out my algos trade cycle. I would rather the feed errors out of returns NAs until its health is restored that way my algos don’t enter trades when it is not working well.
Best,
Doug