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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? $\endgroup$ – chollida Sep 23 '15 at 17:12
  • $\begingroup$ I'm thinking of bad ticks & big movements. $\endgroup$ – Craig Sep 23 '15 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], 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There's very few papers out there and I believe all of them are outdated anyway.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).

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  • $\begingroup$ Thanks for the answer, would there be any online way of calibrating eps_ticks? (for instance). $\endgroup$ – Craig Sep 23 '15 at 17:49
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    $\begingroup$ 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 '15 at 18:00

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