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Thanks for all suggestions, and would be great to hear about other
creative/unique ideas too of how others are getting around this common
problem.
Yes, Ray, futures data is much cleaner compared to ETF and stock data
from IB.
Herman, here's an idea I have been using to filter spikes:
Validbar=O-L<Percentile(O-L,390,99) AND H-O<Percentile(H-O,390,99);
It seems to work OK. Whats kind of annoying, however, is that you have
to deal with spikes "in your code" as opposed to having some AB
built-in settings (like in QT) to remove spikes from data BEFORE they
are operated on by your code or get charted. That way you dont have to
rewrite your code to take care of spikes and rewrite basic AB built-in
functions everytime you use a new function. example: I have to recode
the ATR function from scratch to be able to use it while eliminating
spikes. And yes Im aware i could run IB through QT and use QT's
built-in spike-removal functions, but what if i dont wanna use QT?
Would be great if someone can point out a better way..Thanks a lot
g
--- In amibroker@xxxxxxxxxxxxxxx, Herman <psytek@xxx> wrote:
>
> You have to write your code so these spikes do not harm you, I have
had spikes of $1000 or greater.
>
> You can simply ignore prices that fall outside the normal range, ask
for confirmation, average a few quotes, etc.
>
> Welcome to the real world of Real-Time SAutomated Trading
>
> best regards,
> herman
>
> Monday, March 12, 2007, 3:14:19 PM, you wrote:
>
> > I'm using AB with IB datafeed and get spikes every now and then on SPY
> > 1-minute bars. Today i got a huge spike low of ~$40 while SPY trades
> > ~$140. My AB-based autotrading system started giving out totally bogus
> > buy/sell signals. I understand that if a spike occurs in my datafeed,
> > i will not be able to use AB's QuoteEditor to fix the spike for 3 bars
> > since the spike is in the plugin cache. During this time, all the
> > damage will already be done.
>
> > In the absence of a built-in spike removal tool in AB, what is the
> > best way to prevent spikes from affecting an AB-based autotrading
system?
>
> > Thanks a lot
> > g
>
>
>
>
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>
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>
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