Thanks for this thread,
@dholliday, you've raised an important subject for backtesting. I think the implication is that it might be preferable to construct our own daily charts, etc from minute or tick prices to get the "tradeable" daily OHLC? I wondered how traders that use prior day OHLC for pivot points on other indicators based off HL handle this situation.
Perhaps this information could be incorporated into a broader trading system. For example, take all the S&P500 stocks, and count how many highs / lows occur at an "untradeable" price on a particular day. So you get a daily metric ranging from +500 to -500 of "dark pool untradeable activity at extremes", where larger absolute numbers give a potential red flag..
If such an indicator hit a higher level at quarter or year end, maybe this is indicative of some minor manipulation, i.e. more prices occurring that no-one could really trade off? A bit like an institution doing a tiny trade in an illiquid product near the close of day at year end to create a more favourable price to "mark their book".
Or maybe I'm just reading into this too much..
