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Hugh,
Bad ticks are not so hard to remove if you are running a tick level
database. However, the longer the time period of your database, the
more difficult it becomes. I have worked on a method to reduce them
on 5 sec database (SPY is real bad for bad ticks on eSignal). A lot
depends on which stocks you want to remove bad ticks from (different
algorithms work best of different stocks depending on volatility) and
how critical the information be absolutely correct to your purposes.
Do a search on the subject.
Dennis
On Aug 23, 2007, at 1:14 PM, huandy631 wrote:
> Does anyone out there know how to filter out bad ticks? I know the
> view is that they should be filtered out a vendor level, but I don't
> think my vendor values my business enough to make an effort.
>
> Possibly filter through excel, or run a code in AB that deletes bad
> ticks in the past?
>
> thanks
>
> Hugh
>
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