zemuss Posted January 11, 2022 Report Share Posted January 11, 2022 I know the platform has the ability to filter out spikes in premarket / postmarket feeds. What is some settings to try to filter these out? Looking for suggestions. Quote Link to comment Share on other sites More sharing options...
zemuss Posted January 19, 2022 Author Report Share Posted January 19, 2022 any help greatly appreciated. Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted January 19, 2022 Report Share Posted January 19, 2022 Ok. Sorry about lateness of response but this we put in just recently - one cause for spikes is the "odd lot" trades. An "odd lot" is currently defined by exchanges as a trade below 100 shares. That's kind of a dated definition since for some stocks - like AMZN - 100 shares is 300K+, and a lot of trading (AFAIK, about 50%) for such stocks is odd lot trading. But odd lot trades often cause spikes, and the policy (and a lot of charting platforms follow it) is to ignore the odd lot trades when building candles. MT has never done that, but it was pointed out to us recently that it may be good to have an option to do it. So in latest few betas there is now an option to ignore odd lots when building candles. That option is in Settings/Charts/General/Miscellaneous. Try running with it on. The other automatic spike removal mechanism is in Settings/Charts/Spike Filtering. Try playing with those settings. The ( ? ) buttons when you click on them will explain what each setting does. Quote Link to comment Share on other sites More sharing options...
3acor Posted January 24, 2022 Report Share Posted January 24, 2022 I have been playing with the Spike Filtering Settings but I always get spikes no matter the symbol. These are the current settings I have. What should be the optimal Settings? Thanks! Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted January 24, 2022 Report Share Posted January 24, 2022 Did you check the "odd lots" setting in Settings/Charts/General/Miscellaneous? We find that the odd lots cause the big majority of spikes in feeds. Quote Link to comment Share on other sites More sharing options...
3acor Posted January 24, 2022 Report Share Posted January 24, 2022 you mean I uncheck that box ? Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted January 24, 2022 Report Share Posted January 24, 2022 I am sorry, yes, make it NOT include odd lots in candles on charts. Quote Link to comment Share on other sites More sharing options...
3acor Posted January 24, 2022 Report Share Posted January 24, 2022 ok thanks will try it out Quote Link to comment Share on other sites More sharing options...
3acor Posted January 24, 2022 Report Share Posted January 24, 2022 I did uncheck it but I still get this Quote Link to comment Share on other sites More sharing options...
Donald Q. Posted January 24, 2022 Report Share Posted January 24, 2022 (edited) @Mike Medved it's not always an "odd lot" that causes this situation. With a true tick feed like dxFeed, we're going to get late prints and inter-market sweep orders on the tape which will cause these undesirable spikes. Is dxFeed flagging these ticks in the data they are sending you so that we can have an option to hide such orders? Do they print with an alternative timestamp to consider? Example below, where an ISO or late print took place causing extra wicky ticks. Spike filtering is a challenge since the percentage would be 0.0067% and not a valid entry for MT. Edited January 24, 2022 by Donald Q. Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted January 25, 2022 Report Share Posted January 25, 2022 I found a couple of flags in dxfeed i was not taking into account. Will filter those out. Quote Link to comment Share on other sites More sharing options...
3acor Posted January 25, 2022 Report Share Posted January 25, 2022 any issues with Quotemedia? Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted January 25, 2022 Report Share Posted January 25, 2022 are you getting same type of issue with QM during market hours? Quote Link to comment Share on other sites More sharing options...
3acor Posted January 25, 2022 Report Share Posted January 25, 2022 no its only in premarket or after hours, but a lot of times even on the same symbol I get so many spikes and it happens on multiple symbols and it really messes up the chart It takes a lot of time to remove them and it is annoying to be honest Quote Link to comment Share on other sites More sharing options...
Kasper Posted January 25, 2022 Report Share Posted January 25, 2022 Can you suppress candle height outside of n% of price range in current chart view? A suppressed height candle can have a different colour and cap icon indicating it has price spike. Perhaps, even an info bubble on hover that shows vol@price outside of defined limit. For example, a chart's view has High price $25 and Low price $23 that gives it a Range of $2. If user defined spike tolerance is 25%, any candle ranging more than $0.50 is height capped and assigned a user defined colour. Exceptions may need to be made at few minutes +/- session open/close to accommodate for high volume and volatility. Quote Link to comment Share on other sites More sharing options...
Benji Posted February 10, 2022 Report Share Posted February 10, 2022 On 1/24/2022 at 7:19 PM, Mike Medved said: I found a couple of flags in dxfeed i was not taking into account. Will filter those out. Is this change live in the latest version? I was seeing quite a lot of spikes when testing dxfeed today that I didn't see in other sources (IB & IQFeed). Quote Link to comment Share on other sites More sharing options...
Mike Medved Posted February 10, 2022 Report Share Posted February 10, 2022 I noted those spikes (mostly in QQQ and SPY) and am talking to dxFeed about the causes. Quote Link to comment Share on other sites More sharing options...
3acor Posted February 10, 2022 Report Share Posted February 10, 2022 14 hours ago, Mike Medved said: I noted those spikes (mostly in QQQ and SPY) and am talking to dxFeed about the causes. Is there anything for Quotemedia? I get a lot of spikes Thanks ! Quote Link to comment Share on other sites More sharing options...
zemuss Posted July 11, 2022 Author Report Share Posted July 11, 2022 Im using TDA feed.. i turned off the ODD Lots and will see what that does for now. im not using dxfeed whats the benefit? Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted July 21, 2022 Report Share Posted July 21, 2022 As far as dxFeed benefit - it is true tick by tick datafeed, drastically faster than TDA. Level II has far more depth and detail. It has Tick backfill and backfill for options (unlike TDA). Has native LULD data which MT will show on the Level II windows. Quote Link to comment Share on other sites More sharing options...
Recommended Posts
Join the conversation
You can post now and register later. If you have an account, sign in now to post with your account.