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discard zero bid ticks

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    discard zero bid ticks

    I occasionally find my real time data messed up by getting 0 bid tick from the data provider (IB).
    For instance on minute bars this results in a ridiculous Low of 0.
    To try to prevent this I have turned on Options/Market Data/Real Time/Filter Bad Ticks.
    But looking at other threads it seems this would still let through zero bid ticks if there was more than 3 consecutive.

    But zero bid at best looks meaningless, and at worst looks like a cynical ploy to get algorithms to sell their positions at low prices (perhaps nothing see here)

    My suggestion is that either NT should always discard zero bid ticks (regardless of Filter Bad Ticks setting), or this could be an additional Checkbox setting "Always discard zero bid".

    #2
    Hello DaveE,

    I will forward the suggestion to exclude such ticks or support such an option for the realtime tick filter to development. Thank you for your feedback.
    JasonNinjaTrader Customer Service

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      #3
      The suggestion has been added to the list of possible future enhancements and is assigned to SFT-1581.
      JasonNinjaTrader Customer Service

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        #4
        I gave up IB's data feed years ago because it aggregates the flow. Tick charts based on IB' data feed are inaccurate. Bid/Ask, volume, tick analyses are compromised. So, even if IB filtered out zero ticks at the source, your data is distorted anyway. GIGO!

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          #5
          I would like to make a change to this SFT-1581
          Looking at Historical Data for USDJPY Last I see that on 24 Aug NT B12 recorded a sequence of 4 ticks with price = -1 (minus one). This was during the 15 minutes following end of NY session when IB normally closes the price feed. Since there were more than 3 sequentially the existing NT filter would have started recording these junk ticks as 'good'.
          I would like to revise SFT-1581 to allow for rejection of all non-positive price ticks (not just 0), regardless of how many arrive in sequence.

          Comment


            #6
            Thank you for your feedback. I will forward the revision to reject all non positive ticks as per this suggestion to development.
            JasonNinjaTrader Customer Service

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