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In a message dated 06/15/2001 9:37:54 AM Pacific Daylight Time,
omega-digest-request@xxxxxxxxxx writes:
> Date: Thu, 14 Jun 2001 22:15:27 -0600 (CDT)
> From: tradejack@xxxxxxxxxxxx
> To: omega-list@xxxxxxxxxx
> Subject: Re: TRAD announces autoexecution
> Message-Id: <200106150339.UAA25737@xxxxxxxxxxxxxxxxxx>
> ....
> it's difficult to figure out on the fly if what appears to be a bad tick
> is actually a bad tick...the floor is particularly adept in creating
phantom
> bad ticks to trigger clustered stops and then fade the result of their
> handiwork. as more floor traders migrate to off-floor e-trading, they may
try their
> old tricks or invent new ones.
>
> TJ
>
There is a fairly simple solution. Use a second window with a very small
number of ticks per bar (one if possible). That way you can see if a tick
is an abberation or a suddend change in direction. High-volume stocks
may have more than the 13,000 bar limit of TS4, but even at 10 ticks per
bar a bad tick is very obvious. Those bars go by very quickly, even at ten
per.
You could program this into a sytem. Find the bad tick in the tick window
by comparing to previous and following bars, and feed that into your system
via Global Variables. This will get you down to a 10-second delay or so.
donc
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