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In reviewing GS data I find it interesting that the seconds have been
dropped from the tick data. Probably done to save memory or hard drive
space. Now we pay for that one. Means we don't have many options unless they
are put back in.
Jim Bronke
Phoenix, AZ
----- Original Message -----
From: "Bilo Selhi" <citadel@xxxxxxxxxxxx>
To: <tonyvar@xxxxxxxxxxxxxxxx>; <code-list@xxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Monday, August 20, 2001 12:32 PM
Subject: Re: CL_beware of TS Pro
: 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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