I just switched my data feed to IQFeed from Barcharts.com. Barcharts.com is essentially broken for real time trading with Portfolio Trader with continuous disconnects at the open and close. IQFeed works much better in connection quality but has problems with continuous bad ticks. I know that it is an unfiltered feed but the problem is significant. I am keeping both feeds for now but neither of them are ideal.
Here is a thread from almost 10 years ago. Was this ever implemented? Is the only option to manually edit?
viewtopic.php?t=4901
Kind regards,
Alex
Filtering bad ticks
-
- Posts: 275
- Joined: 22 Apr 2014
- Has thanked: 70 times
- Been thanked: 72 times
-
- Posts: 275
- Joined: 22 Apr 2014
- Has thanked: 70 times
- Been thanked: 72 times
Re: Filtering bad ticks
These are showing up in the history. I am surprised that DTN doesn't clean this up or give the user some choices about how to deal with this. I get their argument that these artefacts come from the exchanges, we distribute raw data etc, etc but other data providers can do it.
I have not had enough time with my subscription to see what happens in real time in detail except to say that Portfolio Trader is working brilliantly now that I have switched. I had many random problems before and it was all down to inconsistent data feed.
Alex
I have not had enough time with my subscription to see what happens in real time in detail except to say that Portfolio Trader is working brilliantly now that I have switched. I had many random problems before and it was all down to inconsistent data feed.
Alex
Re: Filtering bad ticks
FYI....
i've never seen bad realtime ticks with IQ for any globex or eurex product.
i've had iqfeed serious issues on 3 occasions in total in about 5 years.
occasionally, at the start of the sunday session the feed won't go live instantly and you will need to kill the iqfeed process so that it auto restarts. i suspect that's a MC issue.
bad history: TS are pretty solid. so you could make a manual correction using their data. you could also use TS for realtime data. but i suspect you'll suffer sporadic drops maybe?
Anyone else got feeds that are stable with good history?
i've never seen bad realtime ticks with IQ for any globex or eurex product.
i've had iqfeed serious issues on 3 occasions in total in about 5 years.
occasionally, at the start of the sunday session the feed won't go live instantly and you will need to kill the iqfeed process so that it auto restarts. i suspect that's a MC issue.
bad history: TS are pretty solid. so you could make a manual correction using their data. you could also use TS for realtime data. but i suspect you'll suffer sporadic drops maybe?
Anyone else got feeds that are stable with good history?
Re: Filtering bad ticks
CQG could be your solution.
Although, i'm finding that in realtime some open/close prices are wrong. When you then reload a chart/workspaces some open/close values change by a tick, which is very strange. Sometimes it meant that variables for a signal were off and i had missed a trade or was in a false trade. So i can't use cqg at the mo until i figure out the problem.
Although, i'm finding that in realtime some open/close prices are wrong. When you then reload a chart/workspaces some open/close values change by a tick, which is very strange. Sometimes it meant that variables for a signal were off and i had missed a trade or was in a false trade. So i can't use cqg at the mo until i figure out the problem.
-
- Posts: 275
- Joined: 22 Apr 2014
- Has thanked: 70 times
- Been thanked: 72 times
Re: Filtering bad ticks
Thanks,
I will be honest, Barchart.com has been excellent for historical data and it is well integrated into Multicharts. IQFeed for real time data seems to be much more stable at the moment. I will keep both for now but I would be curious if there are any eSignal users trading equities with Multicharts that might want to share their thoughts on how that is working.
I will be honest, Barchart.com has been excellent for historical data and it is well integrated into Multicharts. IQFeed for real time data seems to be much more stable at the moment. I will keep both for now but I would be curious if there are any eSignal users trading equities with Multicharts that might want to share their thoughts on how that is working.
-
- Posts: 275
- Joined: 22 Apr 2014
- Has thanked: 70 times
- Been thanked: 72 times
Re: Filtering bad ticks
A good paper on the problem of filtering data.
https://s3-us-west-2.amazonaws.com/tick ... _Paper.pdf
https://s3-us-west-2.amazonaws.com/tick ... _Paper.pdf
Re: Filtering bad ticks
@MC,
I hope the above paper provides the background necessary to start thinking of what can be implemented (see PM ). A setting to filter obvious (user-specified) outliers - both in RT and in historical data - is a no brainer and is implemented in many other trading software.
Would save traders a lot of time and headache.
https://www.multicharts.com/pm/public/m ... es/MC-2262
I hope the above paper provides the background necessary to start thinking of what can be implemented (see PM ). A setting to filter obvious (user-specified) outliers - both in RT and in historical data - is a no brainer and is implemented in many other trading software.
Would save traders a lot of time and headache.
https://www.multicharts.com/pm/public/m ... es/MC-2262