|
PureBytes Links
Trading Reference Links
|
This is a repeat of an earlier message, since the gif attachment got lost.
Sorry for the repetition.
>> 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.
>
>
>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.
Thanks for the suggestions and information, Pierre. Perhaps you're lucky and your French stock feed doesn't suffer from the same problems!
It can't be my serial port, because I don't even collect this stock data myself. These errors are found in stocks that I downloaded right off the Omega site.
Have a look at the accompanying MSFT chart from April 9th, 1998 - I downloaded this data straight from the Omega site, and simply plotted it as 1 minute bars. It's fairly typical, but maybe a little extreme. Most late trades are at the open, but throughout the day, they continue to pop up. Most are obvious, but there certainly are some that are not so easy to dismiss. Even if you could discount the trades by eye, a system or indicator running in RT in TradeStation would be thrown off to the point of being pretty much worthless.
So, more than ever, my original question remains: How do real-time stock traders deal with such ticks in mechanical systems or indicators? Or do they not use mechanical signals?
As someone who's keen to apply mechanical models to stocks, I'm really curious.
Mike Gossland
|