0
$\begingroup$

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.

$\endgroup$
2
  • $\begingroup$ filtering for what? Bad ticks? Big movements? lack of bur or sell side liquidity? $\endgroup$
    – chollida
    Sep 23, 2015 at 17:12
  • $\begingroup$ I'm thinking of bad ticks & big movements. $\endgroup$
    – Craig
    Sep 23, 2015 at 17:48

1 Answer 1

3
$\begingroup$

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], 0 for 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There's very few papers out there and I believe all of them are outdated anyway.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).

$\endgroup$
2
  • $\begingroup$ Thanks for the answer, would there be any online way of calibrating eps_ticks? (for instance). $\endgroup$
    – Craig
    Sep 23, 2015 at 17:49
  • 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_ticks should vary by symbol and time. $\endgroup$
    – madilyn
    Sep 23, 2015 at 18:00

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.