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I appreciate your suggestion but...
Well, if you are End of Day using stops, you should not worry too much
about
bad ticks. If you are using stops in real time and you have a resting stop
out there and you are missing data NOW and your data feed is at fault
then you better
be watching that chart or calling your broker. I know there will always be
bad ticks /
missing data and that will screw up your code. The best thing you can do
is
to do something when that happens. What did you do when Galaxy IV went
out?
Do you have any suggestions about a better server base or data feed?
I am all ears. If you refer to Future Source. Yeah, it all right but do
they supply
options and stock data? I would appreciate your comments or suggestions.
Val.
Koch Frank wrote:
> 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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