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.
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 >= event_time,
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There's very few papers out there and I believe all of them are outdated anyway.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).