Error Filter Settings


Introduction

Sierra Chart has a data error filtering feature to filter errors in historical and real-time data received from any of the supported data or trading services.

Error Filter Settings

The Error Filter Settings can be opened by selecting Global Settings >> Error Filter Settings on the menu.

Price Range Low and Price Range High

These columns let you specify the range of values you would like the error filter to monitor for. If a value received from the Data or Trading service is covered within 2 specified ranges, the range it is first found in will be the % Variance that is used.

% Variance

This column lets you specify the variance as a percentage for the given Low and High price range. If the variance is 0, error filtering is disabled for that range entry. To enter 5%, simply enter 5. Details about how Variance is used is explained in the Error Filter Calculations section.

Second Increment

This setting lets you specify the percentage for each second of the time difference between the timestamp of the prior received data being compared to and the timestamp of the current data received, that the variance will increase by. The allowed percentage will increase as the time difference increases. This setting needs to be set to a percentage. For example .01%.

The Second Increment percentage increases the variance by the following formula:
NewPercentage = (Variance * (TimeDifferenceinSeconds * SecondIncrementValue))+ Variance

Disabling Error Filtering

To disable error filtering do the following:

  • Select Global Settings >> Error Filter Settings.
  • Set each % Variance to 0. Setting them to zero (0) will disable error filtering.
  • Press OK.
  • If there are Intraday charts that have missing data due to data errors which caused data be filtered out from them during a historical data download or during real-time updating, then go to those Intraday charts and select Edit >> Delete All Data and Download. This only needs to be done once for each symbol.

Error Filter Calculations

There are three ways error filtering is performed in Sierra Chart.

  1. When a new value is received from the real-time data feed it is compared to the current Daily High and Daily Low values. If it is beyond the Daily High plus the specified variance, then will be filtered. If it is beyond the Daily Low minus the specified variance, then it will be filtered. For example, if the Daily High is 100 , the variance is 10%, and the received value from the real-time feed is 111, it will be filtered. If it's 110, it will be allowed. The variance is also increased as time increases.
  2. When a new value is received from the real-time data feed and it will be written to the Intraday data file, it is compared to the last data record High and Low values if the time difference since the last trade is less than 90 seconds. If it is beyond the High plus the specified variance, then will be filtered. If it is beyond the Low minus the specified variance, then it will be filtered. The variance is also increased as time increases.
  3. When a historical data record is received from the data service, it is compared to the last historical data record High and Low values. If the new data record High is beyond the prior High plus the specified variance, then will be filtered. If the new data record Low is beyond the prior Low minus the specified variance, then will be filtered. The variance is also increased as time increases.

Filtered values are recorded in the Sierra Chart Message Log and not included in the chart for the symbol or daily quote data.


*Last modified Friday, 22nd July, 2016.