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Sierra Chart filter bad ticks
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Sierra Chart filter bad ticks

  #1 (permalink)
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Sierra Chart filter bad ticks

I have a bad tick in my SPY data, that huge bar 9-10 bars back:

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My filter settings:
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I checked the help file:
Sierra Chart - Error Filter Settings

But am no closer to understanding why the default values didn't prevent this bad tick.

I guess step 1) Can anyone confirm this is indeed a bad tick? And 2) Suggestions on new settings in order to correct it?

Do these settings work if I refresh historical data?

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  #2 (permalink)
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Checked SPY on a different feed:

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Quite a candle, but they show 136.91 low where IQFeed/Sierra is showing 136.14.

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  #3 (permalink)
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Sorry, I don't know about the error filter either. Have you tried deleting and refreshing data prior to that point? If it's a bad tick they may have fixed it. Also, under the edit menu there is an export and edit intraday data. Just tried it. It takes forever to export and a 587mb scid file turned into a 1.2gb text file, but I think you can fix it manually and then reimport.

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  #4 (permalink)
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vegasfoster View Post
Sorry, I don't know about the error filter either. Have you tried deleting and refreshing data prior to that point? If it's a bad tick they may have fixed it. Also, under the edit menu there is an export and edit intraday data. Just tried it. It takes forever to export and a 587mb scid file turned into a 1.2gb text file, but I think you can fix it manually and then reimport.

I did delete+reimport, and error persisted.

I guess the bad tick is coming from IQFeed, so I wonder if this "error filter" even works with historical ticks? It might be real-time only.

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  #5 (permalink)
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As I see it your settings are too generous: SPY in your example falls into the range 50 -150.
You allow a 100% variation for a new high/low. That is SPY could move up to 260 or down to 0 before your error filter starts filtering.

I do not have a suggestion for a better value.

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  #6 (permalink)
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FGBL07 View Post
As I see it your settings are too generous: SPY in your example falls into the range 50 -150.
You allow a 100% variation for a new high/low. That is SPY could move up to 260 or down to 0 before your error filter starts filtering.

I do not have a suggestion for a better value.

Yes, those are the platform defaults. I couldn't find any realistic values and am not sure I understand this approach. Most platforms just look at the proceeding tick and have a percentage variation filter.

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  #7 (permalink)
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This is a bad tick in IQ. I see it as well. There is a tick at 15:45.24 with a volume of over 1M. Not sure what that is, but you can report it to IQ and they will remove/fix it (or explain why it is not a bad tick).

Looking at your filter settings, obviously it won't be filtered, as you are using the defaults (as do I) and 100% filter would not filter lower ticks unless they are negative.

When you read the help text you linked to, it obviously does work for historical ticks (but I think this means downloaded historical ticks, not ticks loaded from disk as it has no effect when I change the settings and reload the chart).

When I set the 50-150 range to "1" (1%), and reload the data from IQ a number of ticks get filtered out including the bad tick in question. There are messages in the log saying it filtered a bunch of ticks, but those messages are not real useful since it lists the high/lows, but not the bad tick.

1% seems a little tight to me, as a real gap could hit that. Not sure how SC deals with gaps and filtering.

I would post to the SC forum for more info or to make suggestions.

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  #8 (permalink)
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I played with it a bit now that I better understand what it is doing, and got it working.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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