Quality and consistency assurance of quote data for algorithmic trading strategies

Quote data are a vital part of information almost every trading algorithm relies on. While increasing effort is put into making trading algorithms better, the quote data as foundation of the algorithms is often asserted to be perfect. In reality, much work is needed to acquire good quote data. This paper shows methods of collecting and storing quote data and how to measure and improve its quality and completeness. Applying these methods leads to greatly improved results and higher speed of algorithms which rely on this quote data.