Tick Data (Esignal)

R. Raskolnikov · Oct 13, 2013

Hey all,

Does anyone know how to filter out certain prints from Esignal's tick data, specifically "AvgPrice" and "DerivPriced"? Their intraday (whole minute) data filters these out but I can't seem to figure out how to do it manually on their tick data. And their customer service reps dont seem to know either.

Any ideas? If not, can anyone recommend other data providers who provide quality tick data that I can have these prints filtered out?

Thanks.

RR

abattia · Oct 14, 2013

Quote from R. Raskolnikov:

Hey all,

Does anyone know how to filter out certain prints from Esignal's tick data, specifically "AvgPrice" and "DerivPriced"? Their intraday (whole minute) data filters these out but I can't seem to figure out how to do it manually on their tick data. And their customer service reps dont seem to know either.

Any ideas? If not, can anyone recommend other data providers who provide quality tick data that I can have these prints filtered out?

Thanks.

RR

By filtered out, do you mean you want it removed? Or that you want it calculated for that tick data?

R. Raskolnikov · Oct 15, 2013

I want the trades that the exchange labels "avpprice" and "derivpriced" to be removed from chart creation. I asked esignal reps and they claim it's not possible right now, which is frustrating because it doesn't sound all that difficult.

Quote from abattia:

By filtered out, do you mean you want it removed? Or that you want it calculated for that tick data?

learner2007 · Oct 15, 2013

Quote from R. Raskolnikov:

I want the trades that the exchange labels "avpprice" and "derivpriced" to be removed from chart creation. I asked esignal reps and they claim it's not possible right now, which is frustrating because it doesn't sound all that difficult.

You might try posting your question on the eSignal forum under Data Inquiries.

http://forum.esignal.com/forum.php

R. Raskolnikov · Oct 20, 2013

I'd like certain prints, those that didn't trade via the inside mkt, to be filtered out. For instance, there are prints that are an average price of trades that occurred throughout the day that are printed and create bars in which the OHLC are incorrectly represented. In esignal, the easiest way to see these is to look at whole minute data and tick data side by side, such as looking at the 5 min chart vrs the 300 second chart. Both are the same bar interval but they wont look the same all the time in esignal. It's quite frustrating.

Can anyone recommend a data provider with very solid tick data and where either these types of prints can be filtered out manually or are filtered automatically? Thanks

Quote from abattia:

By filtered out, do you mean you want it removed? Or that you want it calculated for that tick data?

abattia · Oct 20, 2013

Quote from R. Raskolnikov:

... Can anyone recommend a data provider with very solid tick data and where either these types of prints can be filtered out manually or are filtered automatically? Thanks

www.tickdata.com applies a proprietary tick filtering algorithm.
http://www.tickdata.com/pdf/Tick_Data_Filtering_White_Paper.pdf

R. Raskolnikov · Oct 22, 2013

Thanks Abattia, I contacted them and they do provide a tick filtering mechanism but they do not provide any charting. Do you know have a recommendation of how I can take that data and stream it into a reliable charting platform? Thanks.

RR

Quote from abattia:

www.tickdata.com applies a proprietary tick filtering algorithm.
http://www.tickdata.com/pdf/Tick_Data_Filtering_White_Paper.pdf

abattia · Oct 22, 2013

Quote from R. Raskolnikov:

Thanks Abattia, I contacted them and they do provide a tick filtering mechanism but they do not provide any charting. Do you know have a recommendation of how I can take that data and stream it into a reliable charting platform? Thanks.

RR

I think TickData provide an app called "TickWrite" (?) that will output in many standard formats. So then importing to NinjaTrader (for example) is easy. And then you can use NT's charts ...