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there should not be any excuses "from the exchange"
it is possible to filter bad ticks on the fly and it has
been done in real time on proprietary platforms.
exchange tags all questionable ticks.
those really bad ticks are just as easy to filter out...
it's just they don't want to do it or have no capacity
of doing it...
take a careful look at high resolution data such as
1 min data... if your eye is trained and you understand
data and outside trades you can immediately see
late ticks everywhere...
the scary thing is the 99% of people don't understand
that one late tick can screw up your system completely.
those large spikes are not actually the main problem
the main problem are those late reported trades or
block trades:
- late reported trades are trades that happened several
minutes ago but have not been reported to the exchange
for various reasons for that time and also block trades...
so price is trading on one level and all of all of sudden
you get a tick that out of the market...
trad can do several things about it:
- back insert it in time at the end of the day...
( if those ticks have correct time stamp those can be
backinserted in time, if not then at least the volume can
be backinserted for daily data )
- delete it, a better option since i would rather have
a few lost ticks than distortions in data....
pull up a tick chart of CSCO and take a look at
those late block traders form market makers...
they are everywhere!
the only way to get away from that problem is to move
to higher resolution where those problems will not
affect your trigger levels by too much or you gotta
use special smoothers as a proxy for price
...or have TRAD fix the problem :)
regards.
bilo.
ps. sooner or later someone will take care of that
problem is TRAD can't.
----- Original Message -----
From: <tonyvar@xxxxxxxxxxxxxxxx>
To: <code-list@xxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Monday, August 20, 2001 2:30 PM
Subject: Re: CL_beware of TS Pro
>
>
> this is one reason why i don't like the data on demand concept-the bad
> data ticks are never addressed
> properly and by no means is this directed to trad alone, all their
> competitors suffer of this.
>
> at leat with hd stored data you can filter and edit.
>
> their excuse is always that they got it from the exchange.
>
> well if they did then the sec should step in and hit the reporting
> exchange over the head.
>
> tv
>
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