How can we implement a filter to ENOURMOUS duka data spikes?

[imported_tickstoryParticipant February 26, 2014 at 11:21 am Post count: 1479]

#19814

Thanks, Threshold. At this stage we’re thinking the best way to add this feature is to allow a filter of “x % from current price” or something similar. That is, if the price deviates more than this percentage from the previous tick or bar, that data would be eliminated.

Any further thoughts are welcome.

[4EverMaATParticipant April 15, 2014 at 3:13 am Post count: 24]

#19815

@tickstory wrote:

Thanks, Threshold. At this stage we’re thinking the best way to add this feature is to allow a filter of “x % from current price” or something similar. That is, if the price deviates more than this percentage from the previous tick or bar, that data would be eliminated.

Any further thoughts are welcome.

Birt’s CSV2FXT script includes some of these filters. He released the source code for the script so that you can see exactly how the filters work.

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