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When there is any issue regarding the data I'm using to day trade the S&P, I
get out if I'm in and sit on sidelines until I can clean my data in the
evening which I do using the CME's Time and Sales files posted nightly. When
Galaxy4 went out I didn't trade. When power goes out I don't trade. Markets
are risky enough and I simply see no reason to add to that risk when
trading.
Earl
-----Original Message-----
From: Val Clancy <valclancy@xxxxxxxxxxxxx>
To: Koch Frank <frank@xxxxxxxx>
Cc: Omega List <omega-list@xxxxxxxxxx>
Date: Monday, November 02, 1998 9:59 AM
Subject: Re: Study to Filter out Bad Ticks/Gaps/etc.
>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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