Date/Time: Tue, 23 Jan 2018 02:07:49 +0000
Bad tick filtering
|T44 - Posts: 150|
Does Sierra Chart support the filtering of bad/rogue ticks - obvious prints outside time and sales?
For example today using iqFeed for the CAC 40 futures front month (MT#), at 03:56:06 EST, a print for 2500 lots at 3700, at a time when the inside market was 93.50/94. I've checked with the published rules on block trades at the exchange (NYSE LIFFE) and they say that there are no OTC block trades permitted on that product.
I've contacted iq to ask them to verify the possible rogue print with the exchange, and also to ask if they plan to introduce either separate flagging for OTC block trades on products which support blocks and also filtering for bad ticks.
Can I set Sierra to automatically filter such bad ticks? The volume filter is useful for products like FDAX where the exchange documents the minimum block trade, but is not of help in my CAC example as a rogue price is also printed. (and I cannot sensibly set a maximum volume quantity on a market which does not support blocks)
Date Time Of Last Edit: 2013-04-16 08:15:03
|FGBL07 - Posts: 19|
Maybe this helps: http://www.sierrachart.com/index.php?file=doc/doc_ErrorFilter.html&CAID=
|T44 - Posts: 150|
I have heard back from the exchange and from iqFeed. The position is that the trade in question on CAC future was an implied trade, and this is marked as such on the exchange tape and the iqFeed data. iqFeed does not filter ticks.
As far as I can see, this is now for Sierra to comment on whether they would wish to program an option to exclude trades which are flagged as IMPLIED or BLOCK by the exchanges / data providers.
While the existing options to filter volume would be suitable for some instruments, this does not change the issue with a price outside time and sales printing on the chart. The error filtering options you linked to appear to be more appropriate for e.g. bad prints caused by block trades on a stock which can be several % off market.
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