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DC wrote:
> I am trying to make my day-trading system more reliable and robust.
> First thing to address is to make the system immune to "bad ticks".
Good luck.
>
> Several brokers scared me by claiming that this is a big issue.
>
> Here are some questions about bad ticks:
>
> - What is a frequency of bad ticks ? Once a week, once a month?
> I am particulary intersted in eSignal and ES contract for TS2ki.
I switched to eSignal a couple of months ago and follow NQ & ES with TS4. Since my
change, I've had one, possibly two bad ticks. BFD!
>
>
> - What is a nature of bad tick? Tick value usually goes to zero? or go to high
> values ?
As the Supreme Court has held re "socially redeeming values", "You'll know it when
you see it." Not necessarily to zero, just substantially away. For example, right
now NQ is 1208. A bad tick would be 1108 or 1288.
>
>
> - When bad tick comes, what is a fastest way to delete this tick from your
> Global
> Server(GS) for TS 2ki ? Any software do it automatically?
For TS4, it's right-click on screen, click on Edit Price Data, find the bad tick,
delete it, screen recalculates. Remember that if you have loads of indicators on
your chart, it's gonna take some time to recalc and show the new chart. If your
chart is free of indics, the recalc is almost instantaneous.
>
>
> I am using PATS system for order placement. Any bad ticks are happening
> also in this platform? Are reliable filters installed on PATS servers preventing
> bad ticks from coming ?
No idea.
>
>
> Any feedback? or pointers?
>
> Regards, DC
>
> P.S.
>
> For geneartion of buy/sell signals, I am using only Close prices
> of 1-minute or 3-minute bars. I am therefore assuming that bad
> ticks will have no impact on my trading, they will only change High
> or Low prices of my bars.
So long as the bad tick isn't the close.
>
>
> However, arrival of bad tick will probably shrink all my charts to
> a zero line, therefore fast removal of bad tick from GS is important.
Yes --- bad tick = useless chart.
One of my problems at least with TS4 is finding the bad tick. My first effort is to
use TS's "Find: the price is outside ? % of previous price" function. I set the %
to 1 %, search, and that usually finds the errant tick. There are a lot of ticks in
NQ & ES, and sometimes without a search engine, finding a bad one among them can be
looking for the proverbial needle.
>
>
> I am able now to retreat PATS prices. Perhaps it is worth of checking eSignal
> against PATS prices all the time, and if PATS is more relaible, then decide
> in PATS favor in case of discrepancies.
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