Tbanks for the reply. Thanks what I'm doing with the 0 price quotes,
throwing them away. I didn't mention that I'm also getting what seems
to be quotes that non zero but incorrect. So I'm trying to filter them
with some type of algrothrim so I don't get caught executing a bad
trade. I also wanted to make sure that its not something I'm doing
incorrectly with my interface to TWS.
Thanks,
Mark
--- In twsapi@y..., "Michel" <migurull@t...> wrote:
Yes, I sometimes get quotes and/or sizes =0 for a litle moment buy I
dont
understand your problem: 'if lastPrice = 0 then... exit sub'
Michel.
-----Mensaje original-----
De: mbluhm2001 [mailto:mbluhm2001@y...]
Enviado el: jueves, 04 de julio de 2002 19:37
Para: twsapi@y...
Asunto: twsapi: Re: Ways of filtering bad quotes from TWS
I guess I will reply to myself and ask a different question:
Is anyone else getting bad quotes, i.e. quotes == 0 from the TWS
interface. If not, it seems I must be doing something wrong.
Thanks,
Mark
--- In twsapi@y..., "mbluhm2001" <mbluhm2001@y...> wrote:
> I have been getting a price quote of zero for some of the stock
> tickers throughout the trading day. So I decided to put in a
filter
> and wanted to see if anyone else had any better ideas. The way
I'm
> trying it is the following:
>
> IF
> the current price quote is greater than or less than the
previous
> quote by X% and the error counter is less than Y
>
> THEN
> throw away the quote and increment the error counter
>
> ELSE
> use the price quote and clear the error counter
>
> The idea is to set some min and max % (i'm starting with 5%)
that
the
> quote can be outside the previous quote. But to handle gaps, if
the
> quote is out of range Y number of times (i'm starting with 5)
then
use
> that new quote. Also I don't allow quotes that are a value of
zero
> either.
>
> Any thoughts would be helpful.
>
> Thanks,
> Mark
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