SPIKE FILTERING - User Input requested

[Jerry Medved]

We are working on a spike filtering system. This is your chance to have your voices heard.  We need to come up with a good way to filter out bad quotes.  Just checking if the new quote is more than X% away from the old quote is not sufficient. We are looking to do something where if we see a quote that meets some criteria, we flag it, Then if it changes back within a certain period (be it time, ticks, etc), then all the quotes from the initial flag to the end are flagged as filtered and will not show on chart.  The idea being that a spike usually sees the price go up and then right back down. If it goes up and stays there (some news, or gap open etc,), then it is not a spike but a real market move.

 

Now for the hard part - defining the criteria.  We need to come up with some criteria for determining what is a "spike" and what is considered "back to normal" after the initial flag.  

 

Over the years, many of you have voiced your opinions. Please give your ideas here if you wish to see them implemented.  Feel free to comment or play devil's advocate.

[timtrader]

I'd actually prefer to be able to right-click on a bar of a chart (that I define as a spike, often a late trade post) and be able to delete (or clear out) that bars data, thus removing the spike.  The current option to remove the low or high spike in view works a lot of the time, but sometimes the spike is in between the high and low that is in view.....so the bar with the spike needs to be selected.  I don't know if you'd be able to do that AND apply it to all linked charts as well, but that would probably be ideal.  I can't imagine all of the combinations available in order to automate this.

 

Thanks as always! - Tim

[MTG]

This guy had some ideas he patented.  Might be useful?

 

https://www.google.com/patents/US7685041

[Lapa]

NuPIC seems like an interesting concept, seems to be better suited at predicting rather than filtering.  https://github.com/numenta/nupic/wiki

[bigMoose]

I too would like to right click on the bar to remove it.  Particularly for rogue volume bars with IB data feed.

[jschwa]

Why not simply allow users to select the spike to be removed?

[nasdorq]

If just having +/- X% from the last quote is insufficient, what about filtering +/- X% above the bid or ask.  That way gaps wouldn't be an issue as the bid/ask would match the gap in between two prices.

[Jerry Medved]

@jschwa - you can remove spike filters now. We are talking about automatic spike removal.

 

@nasdorq - will see about working that in as an option

[RTP]

A quote outside X% , sets a trigger to monitor 2/3 future quotes.  If the future quotes return to normal,  then assume its a spike and change it.