Support Board
Date/Time: Fri, 22 Nov 2024 03:12:59 +0000
Post From: Bad tick filtering
| [2013-04-16 15:29:05] |
| T44 - Posts: 363 |
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Thanks FGBL07. 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. |