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I use TS2000i with DTN IQFeed via Dynastore and I get many more bad ticks
than others using IQFeed. I get clumps of bad prices and I asked the list
about one such problem a month ago, where the security IVAN was plotting all
prices at 4.00 for hours, and was actually trading at a range around that
level. Gary Fitz suggested that it might be a wrong Global Server setting
for Price Scale but he didn't trade stocks so couldn't really check. The
IVAN problem just happened again yesterday, it was trading at 3.50-3.52 and
suddenly began plotting every tick as 4.00 (with correct tick volume
figures). This continues until I deleted the symbol from the Dynastore
portfolio and then added it back in.
I checked and all my Price Scales for stocks are set at 1/1000, even though
most stocks are trading with only two decimal points. The E-mini is set at
1/100. Dynastore has a bad tick filter which I have set but I still get
back ticks, especially on the E-mini. Without the tick filter some days I
had so many bad E-mini ticks that I couldn't use the charts(10-50 bad ticks
a day). When I download history data (tick data) through Dynastore and
IQFeed, sometimes one or two symbols will have an entire day of bad ticks.
I check with DTN and they even though they don't filter for bad ticks, they
never show the ones I'm getting, especially not a full day's worth. The bad
ticks are all over the scale, from zeros to real high numbers (ie 14555 on a
$5 stock) to decimal point mistakes (0.30 instead of 3.00).
The default settings in Global Server for AMEX, NYSE, NASDAQ are 1/1000.
I'd like to hear some opinions about Price Scale setting and whether it
might be causing these problems I'm having. Has anyone else seem this
happen?
John
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