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Hi g,
What you are really dreaming of is a user programmable data-preprocessor. This is on the suggestion list.
Alternatively you can pre-process your data by substituting the OHLC arrays with Ox, Hx, Lx and Cx. Where the x variables are preprocessed values of OHLC.
btw, I prefer to process/filter Real-Time quotes using Static Variables instead of OHLC arrays, its much faster.
herman
Monday, March 12, 2007, 4:18:31 PM, you wrote:
> 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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