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I've written such routines in VB to filter EOD stock data. It's not
difficult and I've never understood why vendors don't implement such
filters. It's more difficult on futures and indexes where there is no
related volume component against which to evaluate big price moves. The
biggest problem I suspect you'll have is EL's 64k limit which could make it
impossible to front-end a system with the filter code without use of a
special DLL.
Earl
-----Original Message-----
From: Val Clancy <valclancy@xxxxxxxxxxxxx>
To: Omega List <omega-list@xxxxxxxxxx>
Date: Monday, November 02, 1998 8:16 AM
Subject: Study to Filter out Bad Ticks/Gaps/etc.
>List,
>I am writing a little EL routine to filter out bad ticks as
>well as gaps in data, etc.
>Bad ticks - spike high, spike low, zero low.
>Gaps in data - missing data for continuous period of time.
>This routine will find the above, flag it , tag it, print and file
>append
>and the main thing - stop the execution of the system on that
>bar(s).
>Anyway, my line of thought is to build bands around the price
>with the idea of if price falls out of the band - means bad tick.
>I figured the value of the band could be anything more then
>5 times the STD of price, considering log normal distribution.
>Gaps I figured could be detected through time and volume.
>If volume is normal and then all of sudden the next bar is missing
>based on time - gap.
>If any of the above happens the flag will be used to stop the
>execution of the system on that bar and in case of the missing
>data will exit or generate protective stop...
>Questions:
>Has anyone wrote anything like this?
>Any suggestions? Any insights?
>Val.
>
>
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