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Idea for filtering extreme volatility

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    Idea for filtering extreme volatility

    Hi Ninjas,

    I'm thinking how to build an effective extreme volatility filter. This scenario is easily detected in the Tick chart. Any big moving report day could trigger this nasty scenario for end-users Algo. So I have some ideas but I have this doubt:

    If my script works normally with Range Bars, but in order to filter the extreme volatility times I have to add a new bar object ( but in ticks ), so any tick event must be examined by this simple filter. My question is:

    In your opinion, adding a new Bar object in Ticks to do a simple task for each tick, could affect the Script's normal performance time cause it might have overload my system ? I think NOT, but do you have some experience to shed light on this matter?

    Thanks

    #2
    Hello pstrusi,

    Thank you for your post.

    If it is a rather simple calculation you should not see any effect however, if the calculation is very complicated than having it work on each tick could result in a drop in performance.

    Please let me know if you have any questions.
    Patrick H.NinjaTrader Customer Service

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