filtering tick - what's "off market"?

[arnonmoscona]

In the options dialog box, in the data tab, NJ7 allows me to filter ticks by "% off market".
I read in some other thread (don't remember which one) that it considers up to 3 ticks consecutive as bad (if the meet the criterion) and then that value is no longer considered bad.
However I found no explanation about what exactly "off market" means? Is it difference from the last tick traded? Is it distance from the current bid or ask? Is it some moving average? In other words - for this calculation what is considered the "market"?

[NinjaTrader_Kyle]

Hi,

Thanks for your post.

The real-time tick filter is based off of difference between the current and last tick.

[[email protected]]

... However I found no explanation about what exactly "off market" means? Is it difference from the last tick traded? Is it distance from the current bid or ask? Is it some moving average? In other words - for this calculation what is considered the "market"?

There's more here about "bad ticks", and what they are, and where they come from ...

[lucascarter]

Can someone please give me a specific example of what "Filter bad ticks 10% off market" would look like? thanks you

[sledge]

Can someone please give me a specific example of what "Filter bad ticks 10% off market" would look like? thanks you

If a trade is reported in your feed 10% off the last trade it is ignored.

SPY has these bizarre spikes, even during regular hours.

http://www.ninjatrader.com/support/forum/showthread.php?t=66619&highlight=spy

[lucascarter]

so if the last market price is 4.00 and the next tick is 4.40 then this is 10% off and it will ignore?

[NinjaTrader_ChristopherJ]

so if the last market price is 4.00 and the next tick is 4.40 then this is 10% off and it will ignore?

That is correct.

[lucascarter]

So if i set it at 10% and I get a tick from 4.00 to 4.40 will it just not trade this tick or will ignore it completely and not plot it on my chart?

Im looking to keep bad ticks out of the chart and trades, like for example the other day NG, GC, SI, HG and a few others had some bad ticks that had the decimal in the wrong place: 4.751 was 475.10 (some had like 10 bad ticks in a row) So to prevent that I was going to set it at 100% so only occurrences like the other day will be prevented... Is my think correct?

[NinjaTrader_ChristopherJ]

This will keep the bad tick from being plotted from the chart. If you use a setting of 100% that tick would have been filtered out that had a value of 475.10.

[lucascarter]

Ok, and if I exit out of NT and then reopen it, the chart will continue to not show the bad ticks?

[NinjaTrader_ChristopherJ]

Unfortunately this will only filter data the is received real time therefore if you close NinjaTrader then open again the historical data loaded will not be filtered.

[lucascarter]

ok, so how do you guys handle bad ticks for continuum historical, since you guys are the ones providing it.... do you correct it and if so do I need to reload my chart to receive the correction?

[NinjaTrader_ChristopherJ]

This will be adjusted over the weekend however you can also edit the data using the steps outlined in the video below:

http://screencast.com/t/BFLmPtv0

[lucascarter]

once you correct it, do I need to "reload all historical data" on my chart to receive the correction?

[NinjaTrader_ChristopherJ]

Yes after this has been adjusted on our servers you will need to right click within your chart and reload data.