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( TRAD read this stuff and pass it to your
server software engineer for review, we want
to know how you filter data and if you use M3
built in filters for that... )
here is THE information
about the bad tick filtering on M3 server
that i was able to dig out from their
website.
note: this information is incomplete:
- is does mention server tick filtering as if
it's available, looks like could be turned
on and off, and looks like it's basic...
- but mainly mentions that it's up to
the programmer to to do it.
the most interest is:
- badsequence tick ... datafeed is too slow
and the tick gets out of sequence, basically
feed problem and not the server...
out of sequence tick can create spikes on
data in moving markets.
i infer that M3 is capable of recognizing
the above and filtering it out...
- filtered... describes some server built
in server filtering...but is left to the
programmer to do it...????
hey, maybe all TRAD has to do it
find how to turn that built in filtering
on? :-)
*** from their website doc file ***
M3TICKFLAG_DELETED
M3TICKFLAG_BADSEQUENCE
M3TICKFLAG_FILTERED
M3TICKFLAG_CORRECTION
It is up to the programmer to discard or not to discard Ticks with DELETED,
BADSEQUENCE or FILTERED flags depending on the circumstances. The DELETED
flag occurs when data is deleted, but the tick has not been physically
removed yet. The BADSEQUENCE flag is when a tick is marked out-of-sequence
by the data feed driver. The FILTERED flag is for ticks that look bad by
the servers filtering, but left up to the client application to do their own
tick filtering, use the server's tick filtering or just ignore tick
filtering.
**********
there is no mentioning of having access to
the following flags:
- CORR - corrected trades flag: late trades
out of time sequences, canceled traders,
correction records. etc..
- SOLD TRADE ( Z ) late reported trades,
those are the bastards that cause the most
problems...
i assume M3 does that filtering when parsing
that is if it has filtering....
anybody knows if M3 has filtering and how
it does that??????
is it mentioned in the SDK?
bilo.
----- Original Message -----
From: "Bilo Selhi" <citadel@xxxxxxxxxxxx>
To: <code-list@xxxxxxxxxxxxx>
Sent: Monday, August 20, 2001 1:38 PM
Subject: Re: CL_beware of TS Pro
> what that means is that they still don't have
> the automatic tick correction at least for
> some of those large spikes which is
> very easy to correct for...
> they do it manually.
> i have spikes that i reported that lasted
> for more than a week before they were
> able to correct those...
>
> a lot of the high resolution data is not too clean
> either. so before pulling the trigger one needs
> to make sure the bar is clean...
>
> the workaround is a simple function that
> detects spikes and does not permit placing orders
> on that bar or replaces the bar altogether.
>
> next year may be...
> bilo.
>
>
> ----- Original Message -----
> From: "--" <andy@xxxxxxxxxx>
> To: <code-list@xxxxxxxxxxxxx>
> Sent: Monday, August 20, 2001 10:17 AM
> Subject: Re: CL_beware of TS Pro
>
>
> >
> > ----- Original Message -----
> > From: "--" <andy@xxxxxxxxxx>
> > To: <omega-list@xxxxxxxxxx>; <code-list@xxxxxxxxxxxxx>
> > Sent: Monday, August 20, 2001 10:02 AM
> > Subject: CL_beware of TS Pro
> >
> >
> > : Customer and Tech support sucks, as well as Data Integrity.
> > :
> > : On Thursday, I got a bad tick in EMC, reported it n Monday
orning( see
> > : emc_badtick00).
> >
> > Friday!! I reported it on Friday morning. It just happens I need and
have
> > not yet received a massive amount of coffee for Monday mornings.
> >
> > The Code List -
> > Subscribe/Unsubscribe
> > http://www.markbrown.com
>
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