Howto Remove Spkies in MC

[topbadbady 10]

I'm backtest EE Universial Clone in Multicharts 5.5.

It seems profitable. but my datafeed contained some spkies, which I don't know how to remove them automatically. Does multicharts provide some functions just like Quotetracker did (ALT+CTRL+H/L).

 

[Tams 20]

you have to note the date and time of the bad tick,

then go to QuoteManager to edit the data.

[ochie 10]

Does multicharts provide some functions just like Quotetracker did (ALT+CTRL+H/L).

 

It's been a few versions back since I've done this but after you edit as Tams mentioned, you should clear cache (also from QuoteManager) then reload the symbol from the View menu.

Edited December 23, 2009 by ochie

[topbadbady 10]

No way to remove those spkies automatically in MC? I just dont want to review 10 years 1 minute data all by hand..... that's the worst choice.

 

why TSsupport team don't provide us this feature?

 

I have to write some python scripts to review data file before import into MC database...

[Tams 20]

they said bad tick filter was in the plans...

 

with today's high quality datafeed, they must have put it in the back burner.

[topbadbady 10]

I write a python script to remove those spikes before import data into MC.

 

In my case, I use MAEnvelope(5,0.01) and MAEnvelope(5,0.02) filter out spikes and then replaced those spike high/low with nearby bar's high/low. In most cases, MAE(5,0.01) already fulfil my needs. but market volatility changes from time to time. so MAE(5,0.02) is needed when market volatility is too high. If somebody wants to use it on their own case, u'd better change it according to your own market volatility.

 

This script works in most case. but still have a lot of room to improve.

 

Btw, This script can process very large data file, let's say 10G or even bigger. what it only takes is time. but it's very fast though. I built up a datafile which contained 40 years 1 minute data. it takes me 160 seconds to revise.

 

 

Here are some snaps.

 

If highest or lowest price is the close or open price. this script just ignore it.

 

removespikes.rar

Edited December 23, 2009 by topbadbady

[topbadbady 10]

they said bad tick filter was in the plans...

 

with today's high quality datafeed, they must have put it in the back burner.

 

I don't have alternative datafeed at this time.......what a pity.:crap::crap: