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Bad tick 如何解決?

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發表於 11-12-10 00:32 | 顯示全部樓層 |閱讀模式
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)
IB bad tick.PNG
IB data configuration.PNG
IB YM bad tick.PNG
發表於 11-12-10 03:56 | 顯示全部樓層
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 for  who is the bad tick !!
發表於 11-12-10 10:51 | 顯示全部樓層
本帖最後由 meimeichen 於 11-12-10 11:02 AM 編輯

小道瓊1112

小道瓊1112
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。
至少不會有零的狀況發生
 樓主| 發表於 11-12-10 12:27 | 顯示全部樓層
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 for  who is the bad tick !!
TrendRover 發表於 11-12-10 03:56 AM

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.
 樓主| 發表於 11-12-10 12:32 | 顯示全部樓層
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


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
發表於 11-12-10 22:22 | 顯示全部樓層
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.
 樓主| 發表於 11-12-11 01:56 | 顯示全部樓層
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
發表於 11-12-11 03:59 | 顯示全部樓層
回復 4# minime

為何說MC無法作到?是因為兩個datasource 會打架嗎?
發表於 11-12-11 04:04 | 顯示全部樓層
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.
發表於 11-12-11 04:24 | 顯示全部樓層
回復 1# minime


    把regular trading hour  disable 會如何呢?
發表於 11-12-11 05:02 | 顯示全部樓層
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.
發表於 11-12-11 05:05 | 顯示全部樓層
回復 7# minime

謝謝這樣一個方法.

上一篇 trader laboratory article 是 妳嗎?
發表於 11-12-11 05:39 | 顯示全部樓層
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.
 樓主| 發表於 11-12-11 08:00 | 顯示全部樓層
To TR:

我不是也不識  JTurner77.

另外我不懂為何把regular trading hour  disable 會有任何差別?
發表於 11-12-11 20:23 | 顯示全部樓層
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
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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