Abnormal Ticks

[mrlwd]

In my attempt to define a trading strategy, I have noted that tick data outside the bid/ask spread - apparently out of sequence trades - raise havoc with my trade triggers. An example is MSFT on 03/03 at 09:54:04 PST where the bid was $23.72 and the ask was $23.73 and a single tick came in at $23.83, against the trend of course, and resulted in an unnecessary trade. This is not an uncommon occurrence in the high volume equities.

I have noted that a price filter exists under the Tools for the Advance Charting, however this appears to apply to historical data for backtesting purposes only and has no effect upon the real time data.

Without using the computeOnClose feature, is there a way to filter such extraneous Tick Data and prevent the resulting trade? Can the bid/ask data be incorporated into an EFS formula?

Is there someone out there that can help or at least point me in the right direction. I am brand new to this.

[gspiker]

Why, in that specific example, do you think that is a bad tick? Trades go off slightly above and slightly before the bid/ask price all the time.

G

[mrlwd]

Probably "abnormal" was a poor choice to title this problem.

My understanding is that reporting of trades may take place up to 90 seconds after their actual occurrence without being considered "late", so the case that I cited was most probably not a bad tick. As you say, trades go off above and below the spread frequently. However, my experience has been that the variance is usually only 1-2 basis points before the spread "catches up". In the case where a single trade occurs at a price 8-10, and sometimes up to 20 basis points away from the spread, only to to have the following trades again occur at the spread, indicates that the single trade may have been reported out of sequence -- or some other logical explanation may apply. Nonetheless, such an excursion will pull the trigger of any criterion set below (or above as the case may be) the excursion, and is the problem I am soliciting help to resolve.

Perhaps the answer is that I must loosen my strategy to accommodate such excursions, but first I would like to se if an alternative may be available out there in your collective wisdom.

Thanks for the response and, again, any help will be greatly appreciated.

[JayF]

mrlwd,

I know the feature you are looking for is not currently in eSignal, but I will pass this along as a request to our development team. If you would like to also add any other comments or had any other ideas you want to pass directly to them, then please email [email protected] .

If I can help further, please let me know.