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Great to know it's on the suggestion list, Herman. Now, how would I go
about "substituting" the OHLC array with OxHxLxCx", example? Also,
will this allow spike elimination without the need to rewrite from
scratch AB builtin functions like "ATR" or would i still have to
recode the ATR function from scratch using the newly substituted
OxHxLxCx array?
--- In amibroker@xxxxxxxxxxxxxxx, Herman <psytek@xxx> wrote:
>
> 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@> 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
>
>
>
>
> >> > Please note that this group is for discussion between users only.
>
> >> > To get support from AmiBroker please send an e-mail directly to
> >> > SUPPORT {at} amibroker.com
>
> >> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> >> > http://www.amibroker.com/devlog/
>
> >> > For other support material please check also:
> >> > http://www.amibroker.com/support.html
> >> >
> >> > Yahoo! Groups Links
>
>
>
>
>
>
> > Please note that this group is for discussion between users only.
>
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
>
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
>
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
>
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