I use IQfeed 6.1.0.20 and Amibroker 6.30.0 Real time . Since IQ feed provides non filtered data, I sometimes receive quotations that seem out of line with other prices. By using a minimum, but low volume threshold to filter the close before using the prices in my plots and indicators, most, but not all of these distortions disappear. However, for example, on August 12 at 9:36:36 and 9:36:38, I received TQQQ (SYMBOL) ticks of $124.23 and $126.11, respectively. Prices were otherwise in the $132 to $134 range. Both had volumes of 2300, and came from an "extended trading" source according to my call to DTNIQ. He said sometimes these are "out of sequence" trades that have been reported by the source. The representative showed me how to click "enable extended trades" under "settings" in the DTN Time & Sales app to see these. I have checked "night and day" session in my database settings, and under "configure" , I unchecked "use extended trading last price". I have also tried the ATR feature, but I cant seem to obtain any elimination of these ticks. Have I overlooked something, or is there a workaround for these types of high volume, but "bad" ticks or out of sequence reported trades.......
If I click on the IQ Feed icon, choose the Time & Sales app, then put the stock symbol (in my case TQQQ) in, then click the "settings" feature, then check the "Enable Extended Trades", I can see these trades. in the IQ feed app, but I can't keep them from pulling over to Amibroker
I tried to filter these trades in the Amibroker "Database Settings" by going to "Intraday Settings" and unselecting "show 24 hours trading (no filtering)" because it has no filtering, checking "show night and day session only" then going to "Configure" and trying to set up an ATR bad tick filter , and then unchecked "Use Extended Trading Last Price" thinking this might be referring to the same type of trades as mentioned above in IQfeed, but this doesn't seem to make any difference. These "out of sequence" trades can be so different from current properly sequenced trades that indicator calculations are really distorted. I would appreciate any ideas or approached to fix this.
Either filter by AFL code (don't forget to create watchlist(having same name as in the suggested AFL and putting symbols with spike data into that watchlist!)
Note: Volume is not included in upper example yet. So do add code yourself if needed.
fxshrat: Thank you for the proposed AFL workaround. I will try it. Appreciate it
Tomasz / fxshrat:
In regards to reporting errors, the IQFeed representative I spoke to (Mark - technical support) looked at the quotations I referenced in my earlier message, and indicated to me that these were "extended trades". As I understand from him, these are trades which actually occurred (and in that sense were not deemed as errors), but the reporting may have been delayed. Thus, by the time they are reported they may be out of line with current prices.
I understand from him that within IQfeeds internal applications (e.g., the Time & Sales feature mentioned above, a user can either view these extended trades or not by clicking on/clicking off the "settings" feature noted in my earlier message, and then clicking on "enable extended trades" option in their software. So they appear to have a way to directly filter them internally, but he said they report "everything" to users. I am not sure if there is a code or marker from their internal process that could be used in the interface between IQ and AB to directly filter these extended trades. It seems they do not consider these "errors", and, therefore won't correct them because the trades actually occurred, but out of sequence.
That is all the research I can gather from them on this, but thanks for listening