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Hello,
A new version of IQFeed plugin (1.5.2) has been released to
http://www.amibroker.com/iqfeed.html
Direct link: http://www.amibroker.com/bin/IQFeed1520.exe
It adds protection against invalid (zero) data sent in High, Low and Open fields by IQFeed during pre-market hours.
It implements bad data filter which is based on ATR (average true range).
The filter is turned ON by default and uses 9-bar ATR of High-Low range.
If next bar High-Low range exceeds X times ATR then this bar data are filtered
to eliminate spikes.
You can control both averaging (ATR) period and X (the detection threshold)
from File->Database Settings->Configure.
You can also TURN OFF the filter already by going to
File->Database Settings then clicking CONFIGURE button and UNCHECKING "Enable" flag in
"CONFIGURE" dialog.
Please note that filter by default runs ATR(9) and if current daily H-L range
exceeds by default 4 (four) times the ATR then it considers this bar as a spike.
This may or may not be correct for each and every symbol. (My experiments shows
that this is good choice but I was checking only Nasdaq 100 symbols).
You may increase the threshold from default 4 to say 5.
Anyway as I wrote many times the filtering or fixing bad ticks should be done by feed
on tick-by-tick level (not on minute bars) since only that way it can be accurate.
And this is what I am hoping for in API 3.0.
Anyway I have done already more than I planned (I have planned to wait for bad tick filter in IQFeed
but they did not make it for over a year).
My intention is to wait for the API 3.0 with ANY further development of this plugin.
====================================================
Best regards,
Tomasz Janeczko
amibroker.com
IQFEED PLUGIN LAST CHANGES HISTORY
CHANGES IN 1.5.1
----------------
+ bad data filter adjusted to work better with not-so-heavily traded symbols
+ filter settings changes are now stored in the registry
CHANGES IN 1.5.0
----------------
+ implemented bad historical data filter (ATR based)
+ change in daylight saving time handling
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