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Dans un courrier daté du 15/07/98 01:50:22 , Mike Gossland écrit :
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While on the subject of bad initial ticks, I have a question about late
reported ticks.
I've had occasion to look at some intraday stock data for several major US
stocks.
So far, *all* of it has been interspersed with sudden and wacky price moves.
At first I thought they were just erroneous ticks, but they're too frequent
and consistent for that. I've since learned that they are late reported
trades, and are particularly common during the opening half-hour of the
stock's trading.
Can someone who is receiving stock data in real-time, tell me whether they
also see these "bad" ticks coming through into their TS charts? And if so,
what the heck do you do about them? And if you don't see them, why not? Does
TS filter them somehow?
Seems to me you can't run a mechanical trading system in real-time on stocks
because of this problem! So can someone tell me what kind of technical
analysis intraday stock traders are doing that isn't rendered almost useless
by these late arrivals? How does Omega expect the world to buy TS for RT
intraday stock trading with this problem facing every user? And since it's a
data feed problem, how does *any* charting package expect RT stock traders to
trade with technical analysis?!
Would people with experience on this point please respond? I'd like to hear
back that I'm making much ado about nothing, but if the SP futures data jumped
around like that, I'd go nuts!
Thanks in advance
Mike Gossland
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I use TradeStation since early 1992 and collect french stock data since the
very beginning, using S&P Comstock datafeed.
I have had some sparse bad ticks, but never encountered such problems.
These bad ticks come either from the exchange or from the data or seldom from
the dataprovider.
Also, you may check your serial port: I have seen bad ticks created by a
misfunction of the serial port with two different customers.
Changing the Com port had resolved this.
TS do not filter anything.
TS is as reliable to trade intraday stocks and futures, but you may have some
limitations.
I do not collect all the stocks data realtime, but only 50 or so, 500 on an
other machine.
If you collect thousands of stocks, I have no experience to report here.
Tradind stocks on an intraday basis is a different task that trading futures,
and the limitations of TS4 will certainly not allow to open thousands of
charts in hundred of workspaces , running thousands of systems or alerts
So, with the current version, it seems to me that following 100-200 stocks is
an acceptable or workable limit.
TS5 will allow to collect an unlimited number of symbols, and run alerts on
them without opening a chart. This is the way to go for those who really want
to scan the stock market on an intraday basis.
For the moment we use TS4, and we may stick to its inherent limitations
Sincerely,
Pierre Orphelin
www.sirtrade.com
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