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
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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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