Prices that Never Existed: A Universe-scale Measurement of Phantom-print Contamination in Equity Backtests

Abstract A printed trade reports that a transaction happened, not that an order could have traded there: odd lots, off-exchange prints, and condition-coded trades are unreachable by a marketable order or excluded from the official high, low, and last. A bar built from all prints therefore sits above the executable high and below the executable […] Source