Filtering IQFeed bad ticks

nitro · Aug 7, 2003

Jay,

Please be careful not to shove this algorithm down our throats. IMHO, there should be an option to set filtering on/off. You should be able to set filtering on/off in REALTIME without restarting the IQFeed software (this way, when a number is coming out, you can turn it off without having to restart your software and therefore lose quotes, and then turn it back on when the market quiets down.) There should be seperate filters for equity and futures so that you can set one or both or none, and be able to tell the system what threshold to use. Equties "tradethrough" all the time, whereas futures rarely do (not on FED days though.)

The idea is to be as flexible as possible.

nitro

Quote from iqfeed:

Depending upon the use, we are willing to work with developers on the price. If the software will bring benefit to our customers, or is a commercial product that will bring us business, we would love to talk. Contact our business development group and we can see what can be worked out.

Also, we have a new history server in development that will help clean things up. As everyone knows, it is a fine line between providing exactly what the exchange sends (which isn't always pretty), and creating accurate filtering algorithms. We think we will have a good solution when released, but it is in the early stages now.

Jay Froscheiser
DTN Market Access, LLC.

iqfeed · Aug 7, 2003

Quote from nitro:

Jay,

Please be careful not to shove this algorithm down our throats.
...
...
The idea is to be as flexible as possible.

nitro

Absolutely.. In fact the current plan is to just mark the trades as questionable, and let the client determine what they want to do with them. This way, the client can do whatever it wants with the data. Either color code the tick (showing that it is suspect), or automatically throw it out, or leave it in. We don't want to be liable for our customers missing data due to a "bad filter".

Jay

corvus · Aug 7, 2003

Quote from iqfeed:

Absolutely.. In fact the current plan is to just mark the trades as questionable, and let the client determine what they want to do with them. This way, the client can do whatever it wants with the data. Either color code the tick (showing that it is suspect), or automatically throw it out, or leave it in. We don't want to be liable for our customers missing data due to a "bad filter".

Jay

Great!

funky · Aug 7, 2003

Quote from dis:

Quotetracker works only if a bad tick is in the highest/lowest bar in a chart, which is not always true.

Ensign has a spike filter that does not work.

I trade SPY, and don't see what you are seeing. Is this a stop issue? All my stops are triggered by the actual bid/ask (double bid/ask), not actually the last price. Maybe this is your problem? In either case, I don't see why this is an issue at all. Could you explain the seriousness of this to me?

dis · Aug 7, 2003

Quote from funky:

I trade SPY, and don't see what you are seeing. Is this a stop issue? All my stops are triggered by the actual bid/ask (double bid/ask), not actually the last price. Maybe this is your problem? In either case, I don't see why this is an issue at all. Could you explain the seriousness of this to me?

For example, the Keltner Bands are calculated using the ATR of N consecutive bars. An out-of-bound tick results in a very long bar which in turn widens the bands.

dis · Aug 7, 2003

Quote from iqfeed:

Also, we have a new history server in development that will help clean things up. As everyone knows, it is a fine line between providing exactly what the exchange sends (which isn't always pretty), and creating accurate filtering algorithms. We think we will have a good solution when released, but it is in the early stages now.

Here's a good, and easy to implement, solution: for each ticket symbol, using robust statistics (i.e. median) estimate the max. distance between consecutive ticks, and filter out outlier ticks. Throwing out a few good ticks is not nearly as harmful as letting a bad one in.

TriPack · Aug 7, 2003

Quote from iqfeed:

Depending upon the use, we are willing to work with developers on the price. If the software will bring benefit to our customers, or is a commercial product that will bring us business, we would love to talk. Contact our business development group and we can see what can be worked out.

Jay Froscheiser
DTN Market Access, LLC.

Sounds good as I'd like to have access for my personal use. Does the API support VB yet, if not is there an ETA?

Thanks,

funky · Aug 7, 2003

Quote from dis:

For example, the Keltner Bands are calculated using the ATR of N consecutive bars. An out-of-bound tick results in a very long bar which in turn widens the bands.

ok, i see. most charting programs filter 'spikes' like this out. if you don't have this feature, you should. either way, sometimes when i'm looking for a particular setup, the bars don't exactly line up, but i know that the mechanics of the setup are there, and i take the trade. knowing WHY your setups look the way they do is very important, for this exact reason. once you know what your patterns/setups mean in terms of crowd emotion, you really won't be bothered by these types of things.

good luck!

nitro · Aug 8, 2003

Jay,

I STRONGLY suggest that IQFeed do something similar to what eSignal is doing as per this link:

http://www.elitetrader.com/vb/showthread.php?s=&postid=307164

That is, supply an activex midleware that allows TS2Ki to pull historical data from the IQFeed servers FROM WITHIN TS2000i.

nitro