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You can use the HistoryCentre 3rd party utility which converts ASCII to
.omz or .xpo. Using 1-minute bar compression, write an EL indicator that
locates the bad ticks and appends to file the fixed ticks. Your code
should compare the adjacent bars to determine a reasonable fixed price. It
should also differentiate between outside range bars caused by bad ticks,
and price shocks.
One warning, however: if you use the HistoryCentre utility for .xpo
conversion, Volume becomes zero for all the bars you change.
At 03:45 PM 8/27/2001, cash@xxxxxxxxxxx wrote:
>I'm looking through some of the Omega data (TS2000) I have and it
>seems like there are some really out of line ticks and I was
>wondering if anyone has a method for cleaning these up across the
>board for all symbols for a given date range.
>
>For example, in a one minute period, all ticks are 58.15-58.16,
>except for one and that one is 58.50 and only for 100 shares. Now,
>I've seen this kind of tick price gap happen in real life, but it's
>always been for far more than 100 shares.
>
>I've noticed there are other symbols that have these anamolies.
>
>If I wanted to get rid of all ticks that are more than 1% away from
>adjacent ticks (on the same day) and that are only 100 shares,
>how could I do this? across a group of symbols for a given time
>period?
>
>Has anyone done something like this?
>
>TIA,
>
>Cash
>
>
>"Buy Low, Sell High"
>(If this statment is used for financial gain, I am entitled to 10% of all
>profits. ;) )
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