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I didn't do it on intraday data so there was nothing to cut - I simply
flagged the stock as untradeable and set it to keep requesting downloads
until the problem cleared up. Major filter was 30% gap with less than 2
times volume.
Earl
-----Original Message-----
From: Val Clancy <valclancy@xxxxxxxxxxxxx>
To: Earl Adamy <eadamy@xxxxxxxxxx>
Cc: Omega List <omega-list@xxxxxxxxxx>
Date: Monday, November 02, 1998 9:25 AM
Subject: Re: Study to Filter out Bad Ticks/Gaps/etc.
>Earl,
>Thanks for the comments. I understand you comments about the volume.
>I would appreciate if you could explain your filters a little bit more in
>detail.
>How do you decide at which point to cut the bar, for instance, if you've
>detected abnormal high or low?
>I thinks it's easier to do on real time tick data since I can flag the bad
>tick price as it
>comes. But EOD, you don't know where to cut it and you can only
>approximate?
>Val
>
>Earl Adamy wrote:
>
>> 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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