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Yes a bad fill is an actual trade, but, when I use the word view here I am
talking from the reference point of a programmer and systems developer. I
only want to exit a trade if there is more than two trades at or near the
same limit price. I remember people talking about the Emini(I think) bad
fill from a few weeks ago on the day the fed lowered rates. I don't think
anyone would want to see their system exit on that. That's what I mean.
I do see the need to add a Bad Tick Filter to the ATR exit, for example,
until now I didn't think seriously enough about it to realize that it could
be done. I think I'm going to have to have a talk with my buddy Victor
Cuadra. By the way, does the list know that he's teaching an easylanguage
class here in Phoenix on July 7? Check out his website.
http://www.geocities.com/victorcuadra/ click on the Easylanguage button
to the left.
Jim Bronke
Phoenix, AZ
----- Original Message -----
From: "Bill Wynne" <tradewynne@xxxxxxxxxxx>
To: <jvbronke@xxxxxxxx>; <tradewynne@xxxxxxxxx>;
<catapult@xxxxxxxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Thursday, June 14, 2001 7:41 PM
Subject: Re: TRAD announces autoexecution
> The way I see it bad ticks can be vendor or user specific, i.e., NOT
> sent out by the exchange. As a practical matter slow or missing data
> can also have the effect of "bad ticks" 'cause your order is chasing data
> that is not actually there or has already come and gone at the exchange.
>
> >I view a really bad fill as the same as a bad tick<
>
> That's exactly how I would define the difference between the
> two! I.E. you "can't" get filled on a bad tick because no fill
> (trade, whatever) actually occured: it's just bad data for whatever
> reason. By definition a "bad fill" WAS an actual trade.
>
> BW
>
>
> >From: "Jim Bronke" <jvbronke@xxxxxxxx>
> >To: "B W" <tradewynne@xxxxxxxxx>, <catapult@xxxxxxxxxxxxxxxxxx>,
> ><omega-list@xxxxxxxxxx>
> >Subject: Re: TRAD announces autoexecution
> >Date: Thu, 14 Jun 2001 18:37:44 -0700
> >
> >I trade but I view a really bad fill as the same as a bad tick. You can
> >create your own code to decide what terms you wish to exclude data on.
> >
> >Jim Bronke
> >Phoenix, AZ
> >
> >
> >
> >----- Original Message -----
> >From: "B W" <tradewynne@xxxxxxxxx>
> >To: "Jim Bronke" <jvbronke@xxxxxxxx>; <catapult@xxxxxxxxxxxxxxxxxx>;
> ><omega-list@xxxxxxxxxx>
> >Sent: Thursday, June 14, 2001 8:53 AM
> >Subject: Re: TRAD announces autoexecution
> >
> >
> > >
> > > --- Jim Bronke <jvbronke@xxxxxxxx> wrote:
> > > > That's where I'd expect the bad tick to come from.
> > >
> > > If you trade you know what I mean: some "bad" ticks are
> > > busted trades, some are not. A recent 50 point spike
> > > in the ES was busted weeks/days(?) later. I've seen other
> > > spikes that were "good" and not busted. How are you going to
> > > filter that if there is no warm body around?
> > >
> > > BW
> > >
> > >
> > > >
> > > > Jim Bronke
> > > > Phoenix, AZ
> > > >
> > > >
> > > >
> > > > ----- Original Message -----
> > > > From: "B W" <tradewynne@xxxxxxxxx>
> > > > To: "Jim Bronke" <jvbronke@xxxxxxxx>; "Bill Wynne"
> > > > <tradewynne@xxxxxxxxxxx>;
> > > > <catapult@xxxxxxxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
> > > > Sent: Thursday, June 14, 2001 8:29 AM
> > > > Subject: Re: TRAD announces autoexecution
> > > >
> > > >
> > > > >
> > > > > --- Jim Bronke <jvbronke@xxxxxxxx> wrote:
> > > > > > The system definitely needs a bad tick filter.
> > > > >
> > > > > What if the "bad" tick is from the exchange? What
> > > > > if the feed or your system is a few seconds slow?
> > > > >
> > > > > BW
> > > > >
> > > > > >
> > > > > >
> > > > > > Jim Bronke
> > > > > > Phoenix, AZ
> > > > > >
> > > > > >
> > > > > >
> > > > > > ----- Original Message -----
> > > > > > From: "Bill Wynne" <tradewynne@xxxxxxxxxxx>
> > > > > > To: <catapult@xxxxxxxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
> > > > > > Sent: Thursday, June 14, 2001 8:11 AM
> > > > > > Subject: Re: TRAD announces autoexecution
> > > > > >
> > > > > >
> > > > > > > I agree, and there are so many details beyond or marginally
> > > > > > > under TRAD's control: bad ticks, bad orders, etc. With the
> > > > > > > current state of E-markets and data I wouldn't turn my account
> > > > > > > over to my 'puter and/or Bill and Ralph. Would you fly the
> > > > > > > Concord with no pilot on board and the Cruz crew playing with
> > > > > > > the joy-stick on the ground?
> > > > > > >
> > > > > > > It'd be nice to have something like this "park" the orders and
> > > > > > > then you single click to send on TS4....
> > > > > > >
> > > > > > > BW
> > > > > > >
> > > > > > > >From: DH <catapult@xxxxxxxxxxxxxxxxxx>
> > > > > > > >To: Omega List <omega-list@xxxxxxxxxx>
> > > > > > > >Subject: Re: TRAD announces autoexecution
> > > > > > > >Date: Thu, 14 Jun 2001 07:48:52 -0700
> > > > > > > >
> > > > > > > > > FWIW, my prognostication is that progressively within a
year
> > > > TRAD
> > > > > > will
> > > > > > > >be
> > > > > > > > > able to deliver or provide an online trading application
and
> > > > service
> > > > > > > >that
> > > > > > > > > integrates stocks, futures, and options on both.
> > > > > > > >
> > > > > > > ><rant mode on>
> > > > > > > >
> > > > > > > >FWIW, my prognostication is the very best TRAD can hope for
is
> >to
> > > > > > > >achieve the quality of IB..... great when it works but you're
> >SOL
> > > > and
> > > > > > it
> > > > > > > >costs you big money with no recourse when it doesn't.
> > > > > > > >
> > > > > > > >There's a lot more to being a good broker than providing
flashy
> > > > looking
> > > > > > > >software. For starters, the software and computer
> >infrastructure
> > > > should
> > > > > > > >be 100% reliable (belt) and, when that fails, there should be
a
> > > > good
> > > > > > > >phone backup (suspenders) where you promptly get a real
broker
> >on
> > > > the
> > > > > > > >line, not some techno nerd who tells you to reboot your
> >computer
> > > > and
> > > > > > try
> > > > > > > >again. Would anyone seriously consider trusting their trading
> > > > account
> > > > > > to
> > > > > > > >the Cruz brothers? Do you believe they will make it right
when
> >they
> > > > > > mess
> > > > > > > >up and cost you money? I sure as hell don't. It would be like
> > > > putting
> > > > > > > >your life savings in 'Crazy Joe's Used Car Lot and Savings
> >Bank.'
> > > > :-)
> > > > > > > >
> > > > > > > ><rant mode off>
> > > > > > > >
> > > > > > > >--
> > > > > > > > Dennis
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > > >
> > > > > __________________________________________________
> > > > > Do You Yahoo!?
> > > > > Spot the hottest trends in music, movies, and more.
> > > > > http://buzz.yahoo.com/
> > > > >
> > > >
> > >
> > >
> > > __________________________________________________
> > > Do You Yahoo!?
> > > Spot the hottest trends in music, movies, and more.
> > > http://buzz.yahoo.com/
> >
>
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