Bad tick 如何解決?
今天使用MC, 結果發現 IB 送了 bad tick, 請問各位大大有方法解決嗎?MC history backfill 似乎可以剔除 bad tick, 但 realtime streaming data 怎麼辦?同時如果是自動交易, 不就掛了? (其實手動也可能掛了) 本帖最後由 TrendRover 於 11-12-10 04:31 AM 編輯
回復 1# minime
我覺得寫程式篩掉才是final 解.
add data2 from another data source ?(不知這樣加會不會有後遺症)
add data3 from third datasource ?
then , 3 to vote forwho is the bad tick !! 本帖最後由 meimeichen 於 11-12-10 11:02 AM 編輯
這是我測試的接收資料
真沒有想到 IB的資料品質是這樣的!
不妨試試看我的 DDESvr 寶來版吧，如果你有寶來帳號的話!
接收YM會有併筆，但是應該比這好很多才對。{:4_90:}
至少不會有零的狀況發生 回復minime
我覺得寫程式篩掉才是final 解.
add data2 from another data source ?(不知這樣加會不會有後遺症)
add data3 from third datasource ?
then , 3 to vote forwho is the bad tick !!
TrendRover 發表於 11-12-10 03:56 AM http://coco-in.net/images/common/back.gif
Great idea, 但我想我暫時不會用 IB 以外的資料源, 而且 MC 可能無法做到 TrendRover 的想法. 這是我測試的接收資料
真沒有想到 IB的資料品質是這樣的!
不妨試試看我的 DDESvr 寶來版吧，如果你有寶來帳 ...
meimeichen 發表於 11-12-10 10:51 AM http://coco-in.net/images/common/back.gif
我沒寶來.最近 IB 資料好像真的常出問題, 不過只是我的感覺, 沒有去深究. 今天看了一下,卻發現真的錯的離譜, 希望只是暫時現象 不好意思，請問各位是在台灣做ym 期貨？
IB 的 latency 我自己看是 >200ms, 請問各位真的是以tick 做進出？
我是hinet的vdsl 光纖，光是ping到美國hinet下車點就是120-130ms. 我在 LA.從美西到美東就要 90ms, 這是 cable. 如果是 DSL, 就超過 100ms, 且常常 disconnect.
聽說你可以要求IB 幫你把 server 改到香港, 直接 contact IB tech support 看看, ping time 應該可以縮短 回復 4# minime
為何說MC無法作到?是因為兩個datasource 會打架嗎? 回復 6# balance
我們這樣的台灣邊緣於USA外的,要作高頻就要擺 VPS在chicago 的期商提供的VPS SERVER service 上 ,像 advantage
光為了吸引自動化交易的客戶就大費周章的:妳看他們的季刊,肯定 mechanical trader客戶一堆.
我算過: 光chicago 房租就夠付 VPS費用. 回復 1# minime
把regular trading hourdisable 會如何呢? 本帖最後由 TrendRover 於 11-12-11 05:03 AM 編輯
敢問minime大大這篇是妳寫的嗎?
JTurner77
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Handling Early Success
--------------------------------------------------------------------------------
Hello Everyone:
First post and I am a newbie to trading. I seeded my account with $25,000 and started trading in the middle of November a few weeks ago. After my first trade, a loser of $720, I have managed to run my account up to $28,500 at this moment.
So far, I am pleased with my success but also recognize that I have not been as disciplined as I would prefer nor have I honored my desired trading style that I planned to when I initiated trading. What I mean by that is that I had anticipated more swing/trend trading and I have been far more scalping/in and out of positions in the same day and generally been far more active in my trading than initially anticipated. However, I have held positions overnight and for several days on occasion.
I think the first trade loser really annoyed the crap out of me and scared me and that set me off my gameplan. I had watched several markets go my way big time, but was on the sidelines and then bam...my first trade is a loser. As a result, my very next trades were the right setups for swing/trend trading, but I took quick profits of a hundred bucks here and there. I know it was to rebuild my shaken confidence and eek back to break even.
Since that time, I have gradually ran it up to the positive territory with minimal drawdown since my first loser. My first losing trade was my biggest loser to date. My biggest winner was $1,750 on two e-mini contracts that I held overnight. All in all, the vast majority of my trades have been winners, but I have cut them short quite often.
I have now made some profits and am curious as to how I should handle this money. I have heard some say that you shouldnt withdraw winnings...let it compound and grow your size. However, I am also fearful that I will get overconfident and trade a little more loosely with the winnings. I am not sure I will...but I am fearful and I am trying to put myself in the best frame of mind psychologically to succeed.
With the MF Global and some stories I have read on blogs about platforms not filling stops in a timely manner and the flash crash, I also wonder if it is more prudent to keep my trading account smaller in case of fraud or some other crazy circumstance.
I feel rather confident that I will honor stops and not let my losers run too much. I am concerned that I might hold a position overnight of two or more contracts and that something crazy happens to cause a gap move against me.
Does anyone have any thoughts on this?
FWIW, I realize $3,500 aint that big of a deal in the grand scheme of things...but it is a big deal to me at this time. 回復 7# minime
謝謝這樣一個方法.
上一篇 trader laboratory article 是 妳嗎? 本帖最後由 TrendRover 於 11-12-11 05:45 AM 編輯
我真想好好學英文寫作!!好好學對講,能正常的即時溝通. To TR:
我不是也不識JTurner77.
另外我不懂為何把regular trading hourdisable 會有任何差別? 回復balance
我們這樣的台灣邊緣於USA外的,要作高頻就要擺 VPS在chicago 的期商提供的VPS SERVER...
TrendRover 發表於 11-12-11 04:04 AM http://www.coco-in.net/images/common/back.gif在海洋論壇看到這篇，看起來，連號稱到處都100M光纖的HK到美國也是不甚滿意。
看來如果必要，到美國用VPS應該是好的選擇。godaddy windows vps 最便宜是 $35 per month或是（我簡單初估 amazon ec2), 600 小時/month, 20g data, 大概是 $72/month.
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