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Peter,
I struggled with this problem for some time. I did come up with a
solution I applied to 5 second data, but I was not really happy with
the results because it was slow, complex and was not 100% correct.
Using tick data would make for a better algorithm, but that would have
been even slower to process.
The basic idea I used was to have a filter chart that ran at the
native database timeframe which looked for and removed bad ticks (just
using a test of reasonableness between 3 sequential bars). It would
write out the cleaned up data to an artificial ticker with
AddToComposite(). My main chart would be set to this artificial
ticker. Both charts would have to be running all the time.
However, this ran very slow. So I added complexity for the main chart
to pass its timeframe and bar start time to the filter chart. The
filter chart would then figure out what the current incomplete bar
data would be and pass that back to the main chart to modify its last
bar. Only when the bar was complete would the filter chart do an ADC
write of a new ticker. This is just the quick overview. There were
other edge conditions to consider. This ran fast enough to be usable
in most cases, but was a nightmare to maintain. If AFL had the
ability to do this all in one chart without messing up the display
timeframe I would have stayed with it, but it was too hard to maintain
this dual chart setup.
I decided I would not trade equities or ETFs any more because the bad
tick was such a problem realtime. I solved all my bad tick problem by
switching to trading only market index futures. The data is very
clean and bad ticks are not part of my concerns for trading now.
I found several other factors to be superior for futures vs equities
so I would not go back now even if the equities data were perfect.
However, some trade strategies are not designed for market indexes and
would not work on futures.
BTW, Bad ticks (data integrity) has been discussed at length in past
posts by Tomasz and others.
Best regards,
Dennis
On Aug 31, 2008, at 7:24 AM, bleifish wrote:
> Hello,
>
> does anyone have code or ideas to fix bad ticks for intraday trading,
> and is willing to share it?
> Is there an elegant solution to feed indicators with these
> filtered prices?
>
> Thank you very much.
>
> Peter
>
>
>
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