Re[2]: [amibroker] AB autotrading vulnerable to fatal spikes?, AmiBroker Email List Archive

spikes are usually non-tradable quotes. They trigger your limit orders or generate signals but are long gone by the time your order gets to market. In real time trading the can kill a system that performs superb in backtesting...

Your system may get stopped out but your stop order sitting at the market may not. We don't know where the spike comes from, data comes from many sources and exchanges.

Another problem is that the are often corrected during backfill, this means you hardly ever can match a BT with RT results.

Are these spikes just incorrect data or was there some execution at those prices? If the spike was that big, I would assume just about anyone with open stops would of gotten stopped out.

Thanks.

Herman <psytek@xxxxxxxx> 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,