There are only 2 types of bad ticks that I remove The first are bars that out of sequence - ie bars with earlier Timenum or datenum appear after ones with later Date/Time, usually of a duplicate nature. The 2nd type is one falls outside the daily range. I actually export "good" ticks rather than removing bad ones. Cheers Paul.
_____ From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] On Behalf Of Dennis Brown Sent: Monday, 3 September 2007 9:45 PM To: amibroker@yahoogroups.com Subject: Re: [amibroker] Bad tick filter Hugh, The longer the timeframe of your database, the less accurate this becomes --you start removing legitimate data peaks along with bad ticks at anything over a tick database. With 5 second database the effectiveness drops noticeably. With 1 minute it is hopeless. However, you can use an ATR based approach to remove the largest price swings. For instance, if they exceed 5 ATRs knock it back to 3 ATRs. Opening gaps would have to have more headroom though. You would have to experiment with the limits. This could remove really wild bad ticks and not hit the real data too much of the time. Dennis On Aug 31, 2007, at 10:18 AM, Humblybob wrote: Would be very useful if someone could modify this afl for 1-min data or 15-min data. Or let us know how this can be done. Regards On 8/23/07, Dennis Brown <[EMAIL PROTECTED] <mailto:[EMAIL PROTECTED]> com> wrote: Hugh, Bad ticks are not so hard to remove if you are running a tick level database. However, the longer the time period of your database, the more difficult it becomes. I have worked on a method to reduce them on 5 sec database (SPY is real bad for bad ticks on eSignal). A lot depends on which stocks you want to remove bad ticks from (different algorithms work best of different stocks depending on volatility) and how critical the information be absolutely correct to your purposes. Do a search on the subject. Dennis On Aug 23, 2007, at 1:14 PM, huandy631 wrote: > Does anyone out there know how to filter out bad ticks? I know the > view is that they should be filtered out a vendor level, but I don't > think my vendor values my business enough to make an effort. > > Possibly filter through excel, or run a code in AB that deletes bad > ticks in the past? > > thanks > > Hugh > -- Join my group http://groups. <http://groups.yahoo.com/humblybob/> yahoo.com/humblybob/
