# Censoring > The thinning of a price feed — updates dropped, coalesced or rate-limited — during the intervals in which the underlying market is moving fastest, so that the record understates the spread widening and depth withdrawal that actually occurred. - Canonical: https://hadalinstruments.com/glossary/censoring/ - Term set: https://hadalinstruments.com/glossary/ --- A price feed is a sample of a market, not the market itself. Censoring is what happens when that sample is thinned at exactly the moments it matters — updates dropped, coalesced, or rate-limited during the seconds in which the underlying market is moving fastest. The effect on the display is specific and counter-intuitive: the chart gets calmer as the market gets wilder. Fewer updates mean fewer visible spread excursions, fewer visible gaps, and a bid-ask that appears to hold its usual range through an event it did not actually hold through. What the trader sees is a stable, executable-looking quote. What arrives is a rejection, a [requote](/glossary/requote/), or a fill at a price the display never showed — the [quote staleness](/glossary/quote-staleness/) that censoring manufactures. Not every thinned feed is deliberate. Bandwidth limits, aggregation windows, conflation in the distribution layer and plain infrastructure saturation all drop updates, and they drop them hardest under the same conditions. That is the point: intent is not observable from the tape, and it does not need to be. What matters to a trader — and what is testable — is whether the feed being quoted preserves the event structure of the market being traded. Which makes this a measurement problem rather than an accusation. Update rate per second through an event window against the same window on a reference feed, inter-tick interval distributions, the ratio of quote updates to trades, and whether gaps in one feed line up in time with spread excursions in another: all of it is recoverable from captured ticks, and all of it separates a feed that thinned from a market that quietened. The consequence for research is the one most often missed. A backtest run on a censored history understates [spread widening](/glossary/spread-widening/) and understates the depth withdrawal underneath it, because the widening was real but the record of it was never kept. The simulation then fills orders at prices that the feed itself had already stopped being able to offer. ## Commonly confused with Neighbouring concepts that get used interchangeably, and the distinction that actually separates them. - **[Quote staleness](https://hadalinstruments.com/glossary/quote-staleness/)** — Staleness is the symptom censoring manufactures. A thinned feed leaves each displayed quote representing an increasingly historical state, so the trader sees a stable executable-looking price and receives a rejection, a requote, or a fill the display never showed. - **Infrastructure limits** — Bandwidth ceilings, aggregation windows, conflation in the distribution layer and plain saturation all drop updates, and they drop them hardest under exactly the same conditions. Intent is not observable from the tape — and does not need to be, because what is testable is whether the feed preserves the event structure of the market. - **Low volatility** — The counter-intuitive part: a censored chart gets calmer as the market gets wilder. Fewer updates mean fewer visible excursions and a bid-ask that appears to hold its usual range through an event it did not hold through. Quiet on the display and quiet in the market look identical. - **[Survivorship bias](https://hadalinstruments.com/glossary/survivorship-bias/)** — Both are absences in a record, and they differ in what is missing. Survivorship removes whole entities from a universe; censoring removes moments from a series. One buries the losers, the other buries the worst seconds of everyone. ## How to measure it in your own data A definition you cannot test is a definition you have to take on trust. This is the shortest honest route from the concept to a number you computed yourself. - **Records you need** — Captured ticks from the feed under examination and from a reference feed over the same windows, with timestamps. Nothing here requires the venue's cooperation or any claim about what it intended. - **What you compute** — Update rate per second through an event window against the same window on the reference; inter-tick interval distributions; the ratio of quote updates to trades; and whether gaps in one feed line up in time with spread excursions in another. - **What the answer tells you** — All of it separates a feed that thinned from a market that quietened, which is the whole question. The consequence most often missed is for research rather than for trading: a backtest run on a censored history understates both the widening and the depth withdrawal underneath it, because the widening was real and the record of it was never kept. The simulation then fills orders at prices the feed itself had already stopped being able to offer. ## Questions and answers ### How can a chart look calmer during a violent market? Because the chart is drawn from a sample, and thinning the sample removes the extremes first. Fewer updates mean fewer visible spread excursions and fewer visible gaps, so the bid-ask appears to hold its usual range through an event it did not hold through. The display becomes more comfortable as the market becomes less so. ### Is censoring always deliberate? No, and treating it as an accusation makes it harder to investigate. Bandwidth limits, aggregation windows, conflation in distribution layers and simple saturation all drop updates under precisely the conditions that matter. Intent is not observable from the tape. What is observable — and what actually affects you — is whether the feed preserves the event structure of the market you are trading. ### How would I detect it? By comparison, from captured ticks. Update rate through an event window against a reference feed, inter-tick interval distributions, the ratio of quote updates to trades, and whether gaps in one feed coincide with spread excursions in another. Together these separate a feed that thinned from a market that genuinely quietened. ### Why does censoring matter for backtesting? Censoring's backtest consequence is the one most often missed. A history recorded through a censored feed understates spread widening and understates the depth withdrawal beneath it — the widening happened, the record did not keep it. A simulation built on that history fills orders at prices the feed had already stopped being able to offer, and reports the result as achievable. ## If this has already cost you Whether a feed thinned during the minutes that mattered is measurable from captured ticks against a reference. - [Feed Fidelity Assay](https://hadalinstruments.com/assays/#feed-fidelity-assay) “Is the feed my terminal shows me behaving consistently?” Will not establish: A verdict on your broker. One exported log from one terminal measures your feed as you received it — venue-side behaviour, other account tiers and intent are all outside what this data can carry. - [Dataset Forensics Assay](https://hadalinstruments.com/assays/#dataset-forensics-assay) “Can I trust the data file my research stands on?” Will not establish: That the data is correct. Structure can prove a file defective; it cannot prove it faithful to the market — only a second independent source can, and the report names that limit. Intake is not open yet, so none of these can be commissioned today. They are listed here so you know the measurement exists and what it would and would not settle — the [launch list](https://hadalinstruments.com/pricing/#waitlist) hears first. ## Related terms Derived from the links this entry makes and the entries that link back to it. - [Carry-Forward Artifact](https://hadalinstruments.com/glossary/carry-forward-artifact/) A stretch of a market dataset in which missing values were filled by repeating the last known price, manufacturing bars that look like market stability but actually record the absence of data. - [Dealing-Desk Intervention](https://hadalinstruments.com/glossary/dealing-desk-intervention/) Broker-side software or manual control that alters how client orders are handled between receipt and fill — added delay, requote thresholds, asymmetric slippage tolerance — on platforms where the broker is the counterparty to the trade. - [Non-Farm Payrolls (NFP)](https://hadalinstruments.com/glossary/non-farm-payrolls/) The monthly US employment release — published by the Bureau of Labor Statistics, typically at 8:30 a.m. Eastern on the first Friday of the month — which functions as the largest recurring scheduled volatility event in foreign exchange. - [Order Flow Imbalance (OFI)](https://hadalinstruments.com/glossary/order-flow-imbalance/) A measure of net buying pressure constructed from changes at the top of the order book — additions, cancellations and executions on each side, netted over an interval. - [Quote Staleness](https://hadalinstruments.com/glossary/quote-staleness/) The age of a displayed quote relative to the current state of the market it claims to represent; a stale quote advertises a price that is no longer executable. - [Requote](https://hadalinstruments.com/glossary/requote/) A venue's response to an order that offers a new price instead of a fill, obliging the trader to accept the revised price, retry, or abandon the trade. - [Spread Regime](https://hadalinstruments.com/glossary/spread-regime/) One of a small number of persistent states that a venue's bid-ask spread occupies — calm, session transition, scheduled event, stress — such that the spread a trade actually pays is a property of the prevailing regime, not of a single typical number. - [Spread Widening](https://hadalinstruments.com/glossary/spread-widening/) A transient expansion of the bid-ask spread beyond its typical range, most commonly around scheduled news releases, liquidity transitions, and session rollovers. ## Where the term is used Instrument pages whose published copy uses this term. Each page states what it measures and what it does not establish. - [Data Forensics](https://hadalinstruments.com/instruments/data-forensics/) Your stats can be clean and your data still lying. Backtest Honesty ## In the research Censoring comes up in three research notes on this site. - [Does my backtest have survivorship bias?](https://hadalinstruments.com/research/does-my-backtest-have-survivorship-bias/) You cannot tell from inside the dataset. The audit is of your selections — the symbols, data sources and strategies that never reached the record. - [How much does the range actually widen at NFP?](https://hadalinstruments.com/research/the-nfp-range/) What 1,820 scheduled-release windows across 28 pairs were measured for — and why the range-expansion factors stay unpublished until their artifact ships. - [What is slippage really costing me?](https://hadalinstruments.com/research/what-is-slippage-really-costing-me/) Not what the spread figure says, and not what your average slippage says either. The cost lives in the asymmetry, and your own statements already contain it. ## Cite This Definition APA BibTeX HTML Hadal Instruments. (2026). Censoring. Hadal Glossary. https://hadalinstruments.com/glossary/censoring/ Version b81ab43, 2026-08-31. @misc{hadal_2026_censoring, author = {Hadal Instruments}, title = {Censoring}, year = {2026}, url = {https://hadalinstruments.com/glossary/censoring/}, howpublished = {Hadal Glossary}, version = {b81ab43}, note = {Pre-launch publication; version dated 2026-08-31} } Source: Hadal Instruments, Censoring. Original Research Copy Citation **Version b81ab43** identifies the commit that last changed this page in Hadal's content repository. That repository is not public, so the identifier does not resolve externally — it is published so a citation pins one specific state rather than a moving page. To obtain the exact version cited, use the [press and research route](https://hadalinstruments.com/press/).