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At 11:24 PM -0800 3/14/02, Brian wrote:
>You know I was out at a site that sold tick data and was reading
>about how they scrub their data from head to toe. This makes no sense
>to me...
<snip>
>A far better solution, IMO, is to maintain your own data from your
>vendor or the raw data, apply some general tick cleaning scrubbers
>(like ticks that fall 2% outside previous tick and so on) to an ASCII
>data file, and use that to do your backtests.
Consider trading system development as a two-step process:
Stage 1: Find some market characteristic that is tradable
Stage 2: Convert this to a robust, tradable system.
During Stage 1 you need to test lots of things with minimum effort so
you need clean data and "prototype" trading system code - lots of
simple code segments, pre-canned functions, etc.
During Stage 2 you need to streamline the code, add bad-tick filters,
error checking, adaptive parameters, code to handle special
exceptions, etc., to make the system work with what it will actually
encounter in real trading with real data.
Any experienced software developer will tell you that the two cases
are very, very different...
Bob Fulks
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