I'd like to code into a strategy the capability to ignore bad tick data. Something like:
if ( last traded price >/< 30 * TickSize +/- CurrentBid/Ask) ignore that tick. I use Iqfeed for data.
I'm finding that when I put a profit target into a strategy and then backtest it will often exit on what appears to be erroneous trades or trades that are far off from the high low of a bar. Now those trades probably did occur but they were most likely for a very small lot size and it would be highly unlikely that my strat's profit takers would get filled in a similar scenario when running real time.
I provided an image with an example. The close of the profit taking bar close at 109.85 but it shows a wick that traded down to 109.30. I believe that is either erroneous or very small size therefore it's unlikely my profit taking order at 109.57 would have been filled in that bar.
thanks
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