FOREX session tick filter for NeoTicker

[michal.kreslik]

Hello,

for those of you who were struggling with setting up the Tick Filter to filter out bad ticks from EFX group that occur oustide the FOREX trading session hours, I'm attaching the simple Formula that must be put into the Tick Filter Manager in order to achieve this.

The FOREX trading hours are Sunday 5pm EST to Friday 5pm EST continuously.

You start the Tick Filter Manager by going to Manager > Tick Filter ...

Then you add a new Tick Filter (I named it "REMOVE_FRISUN"):



and enter the following Formula to the "Valid Condition" box:

Code: Select all

if((dayofweek(d) >= 1 AND dayofweek(d) <= 4) OR (dayofweek(d) = 5 AND hour(t) < 17) OR (dayofweek(d) = 0 AND hour(t) >= 17), true, false)

You apply the tick filter to the data series by double clicking on the symbol data series on the chart, clikcing Options > Misc > Real-Time Tick Filter > choose the filter > Apply.

Then you tick replay the chart and you're done.

Michal

[Lawrence Chan]

We are working on a connection level, symbol specific, user customizable tick filter based on the new tick filter engine introduced in 4.10 build 41.

Once that is available, users who tracked forex or a small basket of symbols will have much better control over the data collected.

[michal.kreslik]

Lawrence,

the best solution to this issue (filtering out ticks outside of the regular session hours) would be to introduce a more flexible session filter into NeoTicker. Currently it's not possible to define a session that starts Sunday 5 pm and ends Friday 5 pm.

Filtering out these out-of-session ticks by using the tick filter instead of the session filter is terribly slow.

Michal

[Lawrence Chan]

Another interesting approach is to filter out the updates directly at the source level (i.e. inside the order server) which will make it easier for NeoTicker to focus on customized data filtering while the feed level filter in the order server takes care of the ones that is feed specific.

We've tested this approach with great success, thus we will add that to the EFX order server in coming release to improve the data quality further.

[michal.kreslik]

That is great news, I am looking forward to it.

I am confident that bad ticks filtering is the responsibility of the broker or the data feed provider.

Client-level bad ticks filtering seems to me like spending time and effort on repairing something that should not have been broken in the first place. It's like buying a new car, driving it for 10 miles until the car gets broken and starting to repair it yourself instead of demanding the service from your car dealer.

We should demand the data feed to be flawless for our money spent with the broker.

Michal

[foo]

Thanks for sharing this Michel.

Just a note, be sure to adjust the times in the formula for your timezone. for PST replace all the 17 with 14 for example.

[michal.kreslik]

I think it's best to always deal with Eastern Time data regardless of what timezone one lives in.

Michal

[foo]

How does one accomplish that with NeoTicker?