feature to refresh data without spikes

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bowlesj3
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feature to refresh data without spikes

Postby bowlesj3 » 11 Jun 2013

I am going to create a PM request for this idea but I thought I would put it in the forum first since I think a lot of traders would like this idea and may want to enhance it.

I find the spikes in the SPY pretty annoying because they screw up my trading system calculations until three more trade waves come through. I do not feel they can be automatically removed. However today it occurred to me that it would be great to have a feature where the trader could see a valid spike (erroneous trade) come into the chart then position the vertical cursor line over that bar, press a hot key to mark it then after having done this press a key to refresh data without spikes. I was thinking the when the trader marks the spike or multiple spikes (before they press the refresh button) they may have a few options for how the refresh will remove the spike. I am not sure what these options would be at this point but I could see this being a valid idea. If there were such options the trader should have the facility to choose a default option. So during the refresh of the data, MC would have a stored file of spikes the trader has marked including how they wanted the spike removed. I am thinking the trader could choose to see this list and remove one of these marked spikes so MC would show the spike normally again. Another idea is the trader may want to change the method by which the spike is removed. I am also thinking the trader may want to do a run at the end of the day to lock the removal of the spikes for that day (in other words the removal is written into the actual database files). Maybe the trader could have the option to make the first removal a permanent removal with no ability to go back and see the spike again (maybe this would be easier to program).

No doubt if this feature was there I would be using it immediately. It would allow the trader to choose what is a spike and what is just normal volatility thus making the programming required by the MC staff a lot easier and much less likely to create problems in the proper processing logic of the trader's system over the next hour or two. Obviously it would not be of value to a trader who is fully automated and who leaves the room letting MC fire off orders without human verification. I suspect there are very few who do this so I suspect there are a lot who would like this feature since they will always be there to make the decision to remove the spike and how they want it done.

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Henry MultiСharts
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Re: feature to refresh data without spikes

Postby Henry MultiСharts » 11 Jun 2013

Hello bowlesj3,

Do you have spikes on realtime or historical data?
What is your version and build number of MultiCharts?
What is the state of the option "Generate a new tick if total volume changes" in QuoteManager->Tools->DataSources->IB->Settings?

bowlesj3
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Re: feature to refresh data without spikes

Postby bowlesj3 » 11 Jun 2013

Hi Henry,

Here is the info.

Its real time data,
8.0 release build 5620,
Generate a new tick of total volume changes is checked as yes.

I am thinking these spikes are actually valid trades which are outside the normal inside bid/ask of the market as a result of the market being very thin. Normally these only occur before 9:30 am and after 16:00 am EST. In other words, if I place a stop order out while the market is thin an order could pop it way outside the market (regardless if MC is running or not). Because of this, when trading SPY I do not have a stop order in my IB TWS bracket (just the target part is out there). Some traders may want to see this spike (depending on their system) or may at least want to be able to see if for a while until they decide to have it removed from the chart. I am saying this because maybe their stop order did get tripped and they want to know why (again at least for a little while). So this is why I am suggesting that the trader be able to highlight the bar and have it hidden or removed from the data. At the same time some traders may want this turned on all the time. The problem with this is the programming to hide or remove these spikes may be incorrect and hide some valid sharp thrusts in the market. I would think all these spikes are a single tick that jumped way outside. If there was code to automatically remove them (or remove them after the fact when the trader highlights the bar) this would most likely be the key to programming it.

Thanks,
John

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Henry MultiСharts
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Re: feature to refresh data without spikes

Postby Henry MultiСharts » 11 Jun 2013

Hello John,

There were multiple improvements for IB spike issues since your version of MultiCharts.
I would recommend you to update to current version MultiCharts 8.7 beta 2 and let me know if you still have this behavior.

bowlesj3
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Re: feature to refresh data without spikes

Postby bowlesj3 » 11 Jun 2013

Thanks Henry, I was going to upgrade last weekend but had a problem with my disk drive which took some time and I had to delay it.

Actually, I just remembered something and I am pretty sure I did post it to the other link on this issue about SPY spikes. One day I pulled up the Interactive Broker's chart and it also was showing the exact same spikes as MC. So it makes me wonder if these are true out of the market trades which could trigger a stop loss. If they are in fact true out of the market trades then maybe MC should be showing these so the trader knows not to use a stop loss. As an alternative, maybe it could fix the chart (so the trading system logic does not get messed up) yet report the fact that these are occurring. On the other hand maybe the trader should write the system to handle it. You would need to consult with IB on this issue to know absolutely for sure if they are trades that could trip a stop loss. I should call them about this.


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