Is anybody aware of any papers regarding tick/quote filtering algorithms. I'm aware of the Olsen stuff, but I'd prefer something with fewer free parameters.
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$\begingroup$ filtering for what? Bad ticks? Big movements? lack of bur or sell side liquidity? $\endgroup$– chollidaSep 23, 2015 at 17:12
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$\begingroup$ I'm thinking of bad ticks & big movements. $\endgroup$– CraigSep 23, 2015 at 17:48
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You could try just the basics:
- Inversion of bid ask spread (
if bid_px >= ask_px) - Unusual prints far out (
if bid_px - eps_ticks <= trade_px <= ask_px + eps_ticks) - Time sequencing (
if event_time[0] >= event_time[1],0for most recent) - Max values (
if volume == 2^64-1)
There's very few papers out there and I believe all of them are outdated anyway. Some things that used to be positives the past would never happen given the exchange-side technology today and old quote filters would probably give you false positives over artefacts of the modern markets (e.g. fragmented trade reporting).
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$\begingroup$ Thanks for the answer, would there be any online way of calibrating eps_ticks? (for instance). $\endgroup$– CraigSep 23, 2015 at 17:49
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1$\begingroup$ It depends what you're trying to achieve with this filter and how downstream in your application this is, e.g. if this is an 'infrastructural' filter rather than a piece of your strategy logic. An obvious hint is that
eps_ticksshould vary by symbol and time. $\endgroup$– madilynSep 23, 2015 at 18:00