C#/Python bad tick filter

Discussion in 'Programming' started by abattia, Apr 25, 2013.

  1. I am looking for open source tick filter algorithm examples (to detect and filter out "bad ticks").

    Anyone aware of anything available in C# (e.g. tradelink? ... I had a look on the tradelink site, but couldn't locate anything ... but that could be just on account of my own ineptness at figuring out how to search the tradelink code base ...)?

    Or perhaps Python?

    Or anything else?

    Many thanks.
  2. one persons bad tick can be another persons arb opportunity.

    simplest bad tick definition involve ticks likely introduced by feed/service, rather than via an exchange. you can attempt to identify these by comparing feeds to each other in TL, or by comparing a feed to itself and throwing out ticks more than some number of deviations.

    it's very tied into what types of ticks you want to ignore and the frequency of your strategy. as such you probably won't find a generic "bad tick filter", but most of the components to build a bad tick filter are in tradelink (stat functions, comparisons, ability to compare multiple feeds and summarize data).
  3. Many thanks. I'll take a look.