Filtering bad ticks

Questions about MultiCharts and user contributed studies.
hughesfleming
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Filtering bad ticks

Postby hughesfleming » 16 Feb 2018

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

SPY bad ticks.JPG
SPY bad ticks.JPG (296.31 KiB) Viewed 315 times

wilkinsw
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Re: Filtering bad ticks

Postby wilkinsw » 16 Feb 2018

Are these bad ticks in realtime or just in history?

hughesfleming
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Re: Filtering bad ticks

Postby hughesfleming » 16 Feb 2018

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

wilkinsw
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Re: Filtering bad ticks

Postby wilkinsw » 16 Feb 2018

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?

wilkinsw
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Re: Filtering bad ticks

Postby wilkinsw » 16 Feb 2018

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.

hughesfleming
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Re: Filtering bad ticks

Postby hughesfleming » 16 Feb 2018

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.

hughesfleming
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Re: Filtering bad ticks

Postby hughesfleming » 17 Feb 2018

A good paper on the problem of filtering data.

https://s3-us-west-2.amazonaws.com/tick ... _Paper.pdf
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Zheka

Zheka
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Re: Filtering bad ticks

Postby Zheka » 18 Feb 2018

@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


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