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I think it would be a nice TS feature to have EL access to Bid/Ask values and ability to plot Bid or Ask prices on the chart along (or instead) with Last Price. This would allow one to apply analysis to Bid/Ask values instead of Last Price, eliminating most of the issues caused by bad ticks without applying any bad tick filtering. Using Bid/Ask values instead of realistic Last Price could add some error for large-spread issues but will most likely not affect system results for
low-spread high-liquidity issues in my opinion. I am just wondering why this functionality is not part of TS or maybe I am missing something here...?
Thanks,
Gary
> Subject:
> Re: Bad ticks...
> Date:
> Wed, 27 Feb 2002 13:48:54 -0500
> From:
> "Bilo Selhi"
> To:
> , "Omega Technical Support" ,
> "Tom Nielsen" , "Omega List"
>
>
> ...
> 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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