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Spike Filtering Settings


zemuss

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  • 2 weeks later...

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.

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@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.

image.thumb.png.145a7e3aac8a03aee9e01d99af48a6f5.png

Edited by Donald Q.
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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.

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  • 3 weeks later...
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).

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