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M3 basic tick filtering does not "fix" the problem of
bad ticks.
bad ticks are still saved.
minute bars are still constructed.
thus, the client program can either resolve the ticks
itself to discard the bad ones, or,
make intelligent guess on the min bar to "fix" those
bars.
simply put, to clean data that are supposedly bad is not
such a simple issue :)
-Lawrence
--- Bilo Selhi <citadel@xxxxxxxxxxxx> wrote:
> here is some more info on tick filtering in M3:
>
> *** from their website ***
> The Filter DLL only made it in the 3-20-01 build.
>
> The filter type combo box in the exchange, symbol and optionroot dialogs are
> NOT used with the current filter DLLs. The filter type combo boxes will
> probably eventually be removed from M3.
>
> The filter DLL marks a bad tick with the M3TICKFLAG_FILTERED, but does not
> actually delete the tick.
>
> If anyone would like to experiment with improving our tick filters, please
> let us know. Like most things, programming tick filters are more complex
> than initially apparent. And if anyone has any experience with tick filters
> and would like to work with us on this, we would not mind talking to you.
>
> A programmer should filter out ticks with the FILTERED flag or apply his own
> filtering in his application.
>
> A lot of this is feed dependent. You will probably see the most flags on
> S&P. But they are implemented on all feeds.
>
> You probably won't see the Filter flag until you install the filter DLL on
> the pro version (this will be available soon). The BADSEQUENCE flag is for
> out of sequence trades and you won't see on DTN because they don't send any
> information for this, but you will see them on PC Quote and S&P.
>
> You should seldom ever see a DELETED tick, because these should be filtered
> out before you ever see them.
>
> The FILTERED and BADSEQUENCE flags will show up when you read the ticks, and
> it is up to the programmer whether to use these flags in the application.
> Normally FILTERED and BADSEQUENCE ticks are ignored. However, a programmer
> may want to do his own filtering and ignore ticks flagged by the M3 tick
> filter.
>
>
>
> ****
>
> that tell you pretty much "everything"...
> - it's datafeed dependant
> but looks like they have a direct feed to Naz now
> and will have direct feed to NY in the next release...
> means they should have all the exchange correction
> flags in there and if someone tells them how to id the
> bad ticks they might get it...
> - M3 does have basic filtering built in however the information
> about how they do filtering is unavailable, mostly likely based
> on the datafeed variety they probably only correct for most common
> bad ticks, such as out of sequence...
> - they need help on filtering :-) and they admit that.
> - their dll is probably half working ( give me a break, a dll !!!
> for filtering... )
> - and the MOST IMPORTANT, those bad ticks that
> they do flag are up to the application programmer to use
> ( turn on and off )
>
> so,
> we have no idea if TRAD has that "switch" IN OFF OR ON
> POSITION... nor we have no idea if it works and how
> fast that dll is... etc..
>
> well, that's just about does it in depth on TS PRO tick filtering...
>
> sad...
> bilo.
>
>
>
>
>
>
=====
Lawrence Chan http://www.tickquest.com
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