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Think again ! What will happen with stops that already are released ?
In my opinion you can save your time or better evaluate your data feed
or server base.
BR
Frank
Val Clancy wrote:
> 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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