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> Hello list...
>
> I'm curious; can someone tell me what actually causes bad ticks? I mean, by
> looking at it on real-time data there are apparently a fair amount of trades
> taking place away from the current bid/ask. What makes that
> happen...gremlins, Al-Quaeda, weather,...? I'm pretty sure it's not
> philanthropic people selling lower/buying higher than they have to...:)
outside trades are mostly trades that are reported a few minutes 1-3 late,
mostly block trades, sometimes corrections to previous trades,
rarely straight outside trades ( after 1/16 spread removed ).
that's why they mostly show up on 1-3 min time frames.
those ticks could easily be filtered out by data vendors or in servers
because such trades come tagged as late trades.
they will trip your system if not handled properly, it adds considerably
to noise in price series.
none of the data vendors i know filter those, they are just too lazy to do it, plus
it would slow their servers considerably. they just don't care...
however some system trading firms are well aware of the problem
and do filter those out.
naz equity data, new your futures data, amex data are contaminated with
those bad ticks especially on active symbols. just look at 1 min csco data.
you can solve the problem by coding a special filter to monitor probable spikes
in high frequency data and filter those out which is a difficult task,
or you can step up to lower resolution data such as 5 minutes where
those spikes are hardly visible.
aside from outside trader you can have other larger bad ticks caused
by digit shifts, missing or "0" prices, missing data, other data delivery errors.
these are easier to filter because they are highly visible. Tradestation
does filter those out, manually :-) , but you can not rely on them either, they miss those
frequently.
***bad tick filtering is #1, i repeat #1 feature that the data server should have...
( in view of trading system development )
now let's look at the M3 server and see if they understand it
http://www.uniserv.com/gen_success_stories.htm
check out the server that TS uses, there is no mention of bad tick filtering
in their general server description...
http://www.uniserv.com/gen_features.htm
and the finally, about how M3 handles bad ticks is here, if we
dig a bit deeper...
http://www.mktstream.com/wwwthreads/showthreaded.pl?Cat=&Board=GenSDK&Number=79&Search=tru
e&Forum=All_Forums&Words=filtering&Match=Entire%20Phrase&Searchpage=0&Limit=25&Old=allpost
s&Main=73
and
http://www.mktstream.com/wwwthreads/showthreaded.pl?Cat=&Board=GenSDK&Number=76&Search=tru
e&Forum=All_Forums&Words=filtering&Match=Entire%20Phrase&Searchpage=0&Limit=25&Old=allpost
s&Main=50
pretty much sais it all: data filtering is left to the third party developer ( such as TS ) , it can't be
relied on, M3 needs help with filtering, filtering takes up space and server time +
betcha no one is willing to help because it's issue of a substantial edge in
the overall game... ( if i have clean data and you have bad data then you will have more
errors in signals than me, hence i will not tell you how to filter it out :-)
bad tick filtering is a problem in general is a problem with either the
exchange, server or delivery.
bilo.
ps. since most third party users are data vendors and
discretionary traders and
not actual traders / system developers they
careless about issue of clean data...
they are not on THE level yet...
> Tom
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