• If this is your first visit, you will have to register before you can post. To view messages, please scroll below and select the forum that you would like to visits. Questions? Be sure to check out the Forum FAQ.

Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Bad Tick in historical 1 minute bars - best approach?

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

    Bad Tick in historical 1 minute bars - best approach?

    Hello,

    Today there is a "bad tick" in SPY 1 minute bars. I am using NT 7 with a Kinetick data feed.

    This is historical data which I received from Kinetick... NOT recorded in real-time.

    What is the best way to correct these kinds of errors? I've searched this forum and found some threads about fixing TICK data, but couldn't find anything with a solution to "filter" errors in 1 minute bars.

    Attached are two pics:
    1) 1-minute chart showing erroneous low on 9:52am PST bar
    2) 1-second chart, showing the "bad tick" around 9:51:23

    Thanks for the help
    Attached Files

    #2
    Hello ntfred,

    This data is reported by Yahoo and other providers.

    http://finance.yahoo.com/echarts?s=S...rce=undefined;

    You can edit the low of the bar in the Edit tab of the Historical Data Manager window. Please see the link below for further information.

    http://www.ninjatrader.com/support/h...ml?editing.htm
    Christopher S.NinjaTrader Customer Service

    Comment


      #3
      Thanks for the response. I understand how to use the Historical Data Manager to edit "bad bars", however I was wondering if there is a way to Programatically do so, similar to how your bad tick filter works...

      Comment


        #4
        Hello ntfred,

        Yes, it would be possibly to create a tick filter using custom NinjaScript.
        Christopher S.NinjaTrader Customer Service

        Comment


          #5
          how to create such tick filter?

          Comment


            #6
            Hello astef,

            You could write a script that filters bad ticks with custom criteria and then write this into a file that is in the importable format to import into NinjaTrader.

            Then you could remove your current data and import the import file replacing the data with the filtered data.

            You would need to decide what constitutes as a bad tick. The tick filter looks for the previously valid price and checks that the absolute difference between this and the new tick when divided by the previous valid price is greater than the offset amount.
            If there are 3 of these in a row, then the 3rd tick is considered a valid price and that the market is now higher.

            So in your script you would compare the current tick with the previous tick and do a similar comparison. If the tick is valid, it is written to a file.

            This would all have to be custom coded however.
            Below is a link to a reference sample on importing.
            http://ninjatrader.com/support/forum...ead.php?t=3475

            And a link to the help guide on the import file name and contents format and import steps.
            http://ninjatrader.com/support/helpG...?importing.htm
            Chelsea B.NinjaTrader Customer Service

            Comment

            Latest Posts

            Collapse

            Topics Statistics Last Post
            Started by rontronimous, Yesterday, 05:55 PM
            1 response
            12 views
            0 likes
            Last Post NinjaTrader_PatrickG  
            Started by brunoviveiros, Today, 04:26 AM
            0 responses
            1 view
            0 likes
            Last Post brunoviveiros  
            Started by Erhard, Today, 04:24 AM
            0 responses
            4 views
            0 likes
            Last Post Erhard
            by Erhard
             
            Started by StevenNelson, 11-19-2019, 05:39 AM
            3 responses
            16 views
            0 likes
            Last Post brucerobinson  
            Started by guidoisot, Today, 03:01 AM
            0 responses
            8 views
            0 likes
            Last Post guidoisot  
            Working...
            X