New Topic: SPY spikes

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bowlesj3
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New Topic: SPY spikes

Postby bowlesj3 » 11 Mar 2013

Hi,

I am just starting to look for a stock to trade that somewhat mimics the E-Mini ES futures which is what I normally trade. It must meet these criteria.

It will be traded with MC in one work space (charts 10 second, 1,5,10,15,30,60 min).
The broker is Interactive Brokers.
It needs to trade in U.S. dollars.
It must trade overnight so that wave structures are available for 8 am start of trading.
It is reasonably liquid by 8 am Eastern Standard Time.
It moves a fair bit such that commissions can be covered within 1/2 hour on 100 shares if one catches the moves correctly.
It is best if 100 shares values at less than $10,000 so that sizes can be adjusted based upon risk assessment.

Ideally if it can be traded on the IB simulator that would make it easier for me to reprogram my system to trade stocks or futures and knock out the bugs I expect to encounter for a few weeks.

I will be calling IB for suggestions. However, I am wondering if anyone knows of any good symbols to check into or if anyone has any suggestions for finding one.

Thanks,
John
Last edited by bowlesj3 on 20 Mar 2013, edited 1 time in total.

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Re: Finding a stock to mimic trading the E-Mini ES symbol

Postby arnie » 11 Mar 2013

Why not trade the SPY?
This is the ETF that follows the S&P and you won't find nothing better than this.

The volume it's huge.
The SPY is the tool for everyone that don't want to trade futures.

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Re: Finding a stock to mimic trading the E-Mini ES symbol

Postby bowlesj3 » 12 Mar 2013

Hi Arnie,

You are correct. I have the SPY up against the current ESM3 E-Mini contract and they track very closely (extremely close). The SPY does not trade overnight however (ending about 8 pm and starting after 4 am, and picking up in volume a bit better around 7:30 am) but I can work around this shortcoming since they track so closely. I will just run both workspaces together (using the E-Mini for the 5 minute bar charts and larger to mark the larger waves) then, after doing a price conversion, transfer some of the larger chart data from the E-Mini to the SPY charts to provide my projection information and larger chart band bounce information. That will be more than accurate enough for my purposes.

I have the larger E-Mini charts detached from MC and positioned out on a 3rd monitor while having the 1-minute bars and the 10-second bars of the SPY visible inside MC where I can toggle workpaces. By doing this I can see the almost perfect tracking between the E-mini and the SPY when I use the cross hair. The cross hair tracks perfectly across both symbols. That is helpful for sure.

I noticed there are a lot of spikes in the SPY. Do you happen to know if these are the Interactive Broker feed errors (as the E-Mini was getting a year or two back) or are these erroneous trades? Hopefully they are just feed errors. I remember there was a setting that had to be changed in MC if there were E-mini feed errors. I will have to see if I can find the information on this.

Thanks,
John

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Re: Finding a stock to mimic trading the E-Mini ES symbol

Postby arnie » 12 Mar 2013

Hi John.

If you're seeing spikes on IB you might have the "pre" and "post" markets hours.
Comparing IB and IQFeed for RTH period only both charts are identical, no spikes.
SPY trading hours are the same as stocks, between 9:30 and 16:00 ET and also trade "pre" and "post" market hours the same way as stocks.

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Re: Finding a stock to mimic trading the E-Mini ES symbol

Postby bowlesj3 » 12 Mar 2013

Hi Arnie,

I have the MC "format instrument" screen "Sessions:" field set to "24 Hour" and that I guess is why I see the SPY trading until 8 pm at night and starting again at 4 am. You are correct. Most of these spikes are during the off hours. However there is the occasional spike during the day in the IB feed to MC. In the 1 minute bars there is one at 2013/March/08 time=10:28. I also see one at 2013/March/04 time=10:07. So over 7 trading days I only see two of them occurring during regular market hours. It you are not seeing them at these exact times then that means it is an IB issue in their feed and I may need to change that setting in MC. I attached my settings below. It may that I need to uncheck something that was mentioned a few times by the MC-staff back when those strange backfill spikes were occurring at startup.

I found the instructions I was given (see quote). I do have that check box turned "on". However, if you are not getting the same spike in your IB feed of the SPY at those exact times I would think it is still some sort of IB feed issue. I am running MC 8.0 build 5620.
Firstly, please try to enble 'Generate new tick if total volume changes' option in QM to see if it will have any affect on the issue. When it is on, MC forms ticks on volume change basis and therefore sometimes they may not correspond with ticks that you see in IB TWS, however it helps to eliminate bad data that IB sends thru its API.
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Re: Finding a stock to mimic trading the E-Mini ES symbol

Postby TJ » 12 Mar 2013

SPY quotes are known for spikes. Most brokers/datafeed use filters to limit the rogue ticks.

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Re: Finding a stock to mimic trading the E-Mini ES symbol

Postby SUPER » 12 Mar 2013

John,

I have "TWS bartimestamp" and "Use Server timestamp" unchecked......can't remember when and from whom, but that was some advice given to me.

"Generate a new tick if total volume changes" should be checked to avoid spikes.

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Re: Finding a stock to mimic trading the E-Mini ES symbol

Postby arnie » 12 Mar 2013

Like "Super" said, you should have those options unchecked.
These are my settings.

Image

I also don't remember where I read that these options should be unchecked but I'm certain it was on the forum, probably one of the guys from MC.

Sometimes I have the XLF and the XLK chart up to see how they are performing since they represent the financials and tech's and since these are the heavy weights sectors on the S&P it's good to know where they are and I had the same problem with the spikes on IB since I don't have this data realtime on IQFeed, only delayed.

Unchecking those options removed the spikes.
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Re: Finding a stock to mimic trading the E-Mini ES symbol

Postby bowlesj3 » 12 Mar 2013

Okay guys. I have unchecked the time stamp check boxes for now. I will see if the SPY spikes seem to stop during market hours for about a week or two. If that does not work I will uncheck the one at the very bottom as well "Generate a new tick if total volume changes". I want to leave that one for now since the MC-Staff fold me it may fix the spikes that were occurring in the E-mini as a result of the IB api bug as mentioned in the quote above. Having said that, making sure it was checked did not fix the "strange backfill spikes". They had to do special programming to fix those ones.

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Re: Finding a stock to mimic trading the E-Mini ES symbol

Postby arnie » 12 Mar 2013

Have you ever thought in subscribing an external datafeed?
They are much more reliable then a brokers feed.
And since you're trading futures you might take advantage of the CME Waiver which gives you access to all Globex quotes for free, only paying the external datafeed basic service.

Since you use IB and MC, both authorized by CME to access the Waiver it's even easier to take advantage of the service.

Those that use volume on their trading strategies are forced to have an external datafeed since IB's volume is worthless.

Also, you would be free of those weird spikes that IB have from time to time.

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Re: Finding a stock to mimic trading the E-Mini ES symbol

Postby bowlesj3 » 12 Mar 2013

Thanks Arnie for the ideas.

I actually use to use an external feed when using Qcharts but liked the IB feed because it was so much faster. I would get big delays in that external feed. I do not use volume and I only really use the structure of the symbol I am trading to decide on trades. At the beginning I was taught to use futures to decide on stock trades but I gradually learned it was better just to trade the futures and forget about trading stocks (why bother). However this symbol is basically just a smaller size way of trading the futures since it tracks it basically exactly the same. Yeah with the futures I tend to be very selective about trading only the really great trades. With this ability to size a bit smaller at times I can take some of the good trades that almost always work but are not perfect. As far as the data feed spikes go, I make the final decision in the end so I can override any indicators that may get screwed up by the spike. So as long as they are not erroneous trades I am not too worried about it. Also, as I mentioned above, I am making used of the E-mini to track the larger waves anyway and will only be using the SPY 1-minute bars and SPY 10-second bars (a mixture of the E-Mini and SPY to give me the info I need). So the effect of the spike will clear out fairly quickly anyway. The advantages of being able to at times take an SPY trade rather than a futures trade makes it worth it generally. The only downside is I have to do some programming and testing for a while and deal with the gradual reduction in bugs that surface over a period of weeks/months.

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Re: New Topic: SPY spikes

Postby bowlesj3 » 20 Mar 2013

It appears that the changes to the Interactive Broker settings has not eliminated the spikes I get in the SPY chart. I have seen at least one spike during the 9:30 to 16:00 hours mark. Not a lot. If they are just IB API errors I wonder why they mostly occur outside those heavier volume trading hours.

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Re: New Topic: SPY spikes

Postby Henry MultiСharts » 21 Mar 2013

bowlesj3, do you have spikes on realtime or historical data?

"Generate a new tick if total volume changes" filters realtime spikes from IB feed.
If a spike appears on historical data then in most cases this erroneous value is sent by IB. In order to ensure that is not MC issue we need to check the data sent by IB API on your PC. Please come to our live chat to demonstrate such case 6.30am-4pm EST.

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Re: New Topic: SPY spikes

Postby bowlesj3 » 21 Mar 2013

Okay Henry. I will come on live chat as soon as I can. It will probably be some time next week.

Thanks,
John

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Re: New Topic: SPY spikes

Postby bowlesj3 » 28 May 2013

I just saw a big spike before the start of regular trading in the SPY symbol and decided to check the Interactive Brokers chart. The same spike appears on the IB chart. Because it also appears in the IB chart I am assuming this means there is nothing wrong with the MC chart and nothing wrong with the IB feed. In other words it may be a true erroneous trade and maybe it is not a good idea to trail a stop (something I decided not to use on the very first day I saw these spikes).


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