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Hi Dennis,
thank you for your helpfull comment.
I just got the idea, to modify the O,H,C,L-Values infront
of the indicator code instead of using "AddToComposite". They aren't
write-only, as I expected.
It seems to work, as check with this code:
O=L;
C=H;
Plot(C,Name(),colorGreen,styleBar);
Best regards
Peter
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> 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
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