feature to refresh data without spikes
Posted: Jun 11 2013
I am going to create a PM request for this idea but I thought I would put it in the forum first since I think a lot of traders would like this idea and may want to enhance it.
I find the spikes in the SPY pretty annoying because they screw up my trading system calculations until three more trade waves come through. I do not feel they can be automatically removed. However today it occurred to me that it would be great to have a feature where the trader could see a valid spike (erroneous trade) come into the chart then position the vertical cursor line over that bar, press a hot key to mark it then after having done this press a key to refresh data without spikes. I was thinking the when the trader marks the spike or multiple spikes (before they press the refresh button) they may have a few options for how the refresh will remove the spike. I am not sure what these options would be at this point but I could see this being a valid idea. If there were such options the trader should have the facility to choose a default option. So during the refresh of the data, MC would have a stored file of spikes the trader has marked including how they wanted the spike removed. I am thinking the trader could choose to see this list and remove one of these marked spikes so MC would show the spike normally again. Another idea is the trader may want to change the method by which the spike is removed. I am also thinking the trader may want to do a run at the end of the day to lock the removal of the spikes for that day (in other words the removal is written into the actual database files). Maybe the trader could have the option to make the first removal a permanent removal with no ability to go back and see the spike again (maybe this would be easier to program).
No doubt if this feature was there I would be using it immediately. It would allow the trader to choose what is a spike and what is just normal volatility thus making the programming required by the MC staff a lot easier and much less likely to create problems in the proper processing logic of the trader's system over the next hour or two. Obviously it would not be of value to a trader who is fully automated and who leaves the room letting MC fire off orders without human verification. I suspect there are very few who do this so I suspect there are a lot who would like this feature since they will always be there to make the decision to remove the spike and how they want it done.
I find the spikes in the SPY pretty annoying because they screw up my trading system calculations until three more trade waves come through. I do not feel they can be automatically removed. However today it occurred to me that it would be great to have a feature where the trader could see a valid spike (erroneous trade) come into the chart then position the vertical cursor line over that bar, press a hot key to mark it then after having done this press a key to refresh data without spikes. I was thinking the when the trader marks the spike or multiple spikes (before they press the refresh button) they may have a few options for how the refresh will remove the spike. I am not sure what these options would be at this point but I could see this being a valid idea. If there were such options the trader should have the facility to choose a default option. So during the refresh of the data, MC would have a stored file of spikes the trader has marked including how they wanted the spike removed. I am thinking the trader could choose to see this list and remove one of these marked spikes so MC would show the spike normally again. Another idea is the trader may want to change the method by which the spike is removed. I am also thinking the trader may want to do a run at the end of the day to lock the removal of the spikes for that day (in other words the removal is written into the actual database files). Maybe the trader could have the option to make the first removal a permanent removal with no ability to go back and see the spike again (maybe this would be easier to program).
No doubt if this feature was there I would be using it immediately. It would allow the trader to choose what is a spike and what is just normal volatility thus making the programming required by the MC staff a lot easier and much less likely to create problems in the proper processing logic of the trader's system over the next hour or two. Obviously it would not be of value to a trader who is fully automated and who leaves the room letting MC fire off orders without human verification. I suspect there are very few who do this so I suspect there are a lot who would like this feature since they will always be there to make the decision to remove the spike and how they want it done.