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here is some more info on tick filtering in M3:
*** from their website ***
The Filter DLL only made it in the 3-20-01 build.
The filter type combo box in the exchange, symbol and optionroot dialogs are
NOT used with the current filter DLLs. The filter type combo boxes will
probably eventually be removed from M3.
The filter DLL marks a bad tick with the M3TICKFLAG_FILTERED, but does not
actually delete the tick.
If anyone would like to experiment with improving our tick filters, please
let us know. Like most things, programming tick filters are more complex
than initially apparent. And if anyone has any experience with tick filters
and would like to work with us on this, we would not mind talking to you.
A programmer should filter out ticks with the FILTERED flag or apply his own
filtering in his application.
A lot of this is feed dependent. You will probably see the most flags on
S&P. But they are implemented on all feeds.
You probably won't see the Filter flag until you install the filter DLL on
the pro version (this will be available soon). The BADSEQUENCE flag is for
out of sequence trades and you won't see on DTN because they don't send any
information for this, but you will see them on PC Quote and S&P.
You should seldom ever see a DELETED tick, because these should be filtered
out before you ever see them.
The FILTERED and BADSEQUENCE flags will show up when you read the ticks, and
it is up to the programmer whether to use these flags in the application.
Normally FILTERED and BADSEQUENCE ticks are ignored. However, a programmer
may want to do his own filtering and ignore ticks flagged by the M3 tick
filter.
****
that tell you pretty much "everything"...
- it's datafeed dependant
but looks like they have a direct feed to Naz now
and will have direct feed to NY in the next release...
means they should have all the exchange correction
flags in there and if someone tells them how to id the
bad ticks they might get it...
- M3 does have basic filtering built in however the information
about how they do filtering is unavailable, mostly likely based
on the datafeed variety they probably only correct for most common
bad ticks, such as out of sequence...
- they need help on filtering :-) and they admit that.
- their dll is probably half working ( give me a break, a dll !!!
for filtering... )
- and the MOST IMPORTANT, those bad ticks that
they do flag are up to the application programmer to use
( turn on and off )
so,
we have no idea if TRAD has that "switch" IN OFF OR ON
POSITION... nor we have no idea if it works and how
fast that dll is... etc..
well, that's just about does it in depth on TS PRO tick filtering...
sad...
bilo.
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