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twsapi: Re: Ways of filtering bad quotes from TWS

Michel
 

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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@...]
Enviado el: jueves, 04 de julio de 2002 19:37
Para: twsapi@...
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" 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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mbluhm2001
 

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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Service.
Michel
 

开云体育

I dont know how you handle your quotes and sizes so I can't help.
The way in which I handle them is through the use of a 'one shoot' timer of 200 ms. In my tickPrice event I update a variable LastPrice = price and enable the timer. In my tickSize event I update a variable LastSize = size and also enable the timer if it is not. Then in the Timer.Timer event I disable the timer and do the job with LastPrice and LastSize.
This way I allow a 200ms. time window after every price or size event to wait for the second event (size or price) to update the other variable and if the second event dont comes, simply the other variable is unchanged when I use them in my Timer.timer event.
?
Michel.

[Michel]??-----Mensaje original-----
De: mbluhm2001 [mailto:mbluhm2001@...]
Enviado el: jueves, 04 de julio de 2002 21:35
Para: twsapi@...
Asunto: twsapi: Re: Ways of filtering bad quotes from TWS

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
mbluhm2001
 

I guess the first question is why do you turn off your timer. I would
think that the only issue you could have is if your processing of the
ticks would last more than 200ms and that's alot of CPU cycles. But
your program works and my has problems so I would like to understand
this better.

In my program I never turn off my Timer. In my timer routine I call
m_pClient->checkMessages(); which I assume will call the tickPrice and
tickSize events in my program for each stock that has a new tick price
& size. After that I process the stocks with the new price looking for
entry/exits/stops trades.

This is an example of the tick price I'm seeing from BRCD. I see this
on all of the stocks that I'm monitering. Here is what I saw tonight
with the times shown. Since the values are very close together I'm
assuming I must be doing something wrong.

16:44:41 BRCD Out of Range Price = -1.000009
17:05:53 BRCD Out of Range Price = -1.000016
17:10:33 BRCD Out of Range Price = -1.000018
17:18:20 BRCM Out of Range Price = -1.000099

Thanks,
Mark


--- In twsapi@y..., "Michel" <migurull@t...> wrote:
I dont know how you handle your quotes and sizes so I can't help.
The way in which I handle them is through the use of a 'one shoot'
timer of
200 ms. In my tickPrice event I update a variable LastPrice = price
and
enable the timer. In my tickSize event I update a variable LastSize
= size
and also enable the timer if it is not. Then in the Timer.Timer
event I
disable the timer and do the job with LastPrice and LastSize.
This way I allow a 200ms. time window after every price or size
event to
wait for the second event (size or price) to update the other
variable and
if the second event dont comes, simply the other variable is
unchanged when
I use them in my Timer.timer event.

Michel.

[Michel] -----Mensaje original-----
De: mbluhm2001 [mailto:mbluhm2001@y...]
Enviado el: jueves, 04 de julio de 2002 21:35
Para: twsapi@y...
Asunto: twsapi: Re: Ways of filtering bad quotes from TWS


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
Michel
 

开云体育

I see you are using C++ API, and I'm using ActiveX VB but for the purpose of this discussion this is not a problem.
?
First of all we need to understand how IB sends price and size changes:
- if price changes but not size, IB sends a tickPrice event/message with the new price.
- if size changes but not price, IB sends a tickSize event/message with the new size.
- if price AND size change, IB sends a tickPrice and a tickSize event/message with new price and new size.
- if price NOR size change, IB sends... nothing.
?
I asked IB about the timming of this events and they say:
- they send bursts of messages with new values (if any change) every 0.7 seconds.
- order in which tickPrice and tickSize are fired is not guaranteed (actually, tickPrice comes before tickSize but this can be different in new versions so we must assume there is not a defined order in this events).
?
The problem with this 'differential' approach (only changes are transmitted) is that when we receive a tickPrice (or tickSize)event/message, we never know if it will be alone or followed by a tickSize (or tickPrice).For example, as you explain the way you handle this events, when you empty the message queue (?m_pClient->checkMessages()) and find for example a newPrice (or when you receive a tickPrice event), you can't process it immediatly (assuming a new tick with newPrice and oldSize) because you dont know if it will be followed by a newSize message/event... so the only way is to WAIT A CERTAIN TIME to allow ALL messages related to a tick to reach your application.
This is the reason for the use of a 'one shoot' timer of 200 ms: every reception of a newPrice or newSize event resets this timer, allowing a time frame of 200 ms. to eventually receive other messages/events related to the same tick.
Only when this tempo had compleded, you are sure to have received all events and can begin to process the new tick.
The 200 ms. is arbitrary and based on some tets: generally tickSize, when present, comes a few milliseconds after tickPrice but you must allow some delay (for example, tickSize message could be routed differently on the net and take more time).
Also during this 200 ms, your program can complete other pending tasks related to the precedent tick (for example archiving it in a file). The idea behind it is, assuming a new tick every 0.7 second, to allow 200 ms to complete the tick and 500 ms to process it. This 500 ms is more than sufficient: I make lots of tests and?displays (including a real time graph of the last 15 minutes ticks) in less than 50 ms in Visual Basic with an Athlon 700 MHz on WinXP.
?
The reason why I turn off the timer is now obvious: I only need it AFTER a tickPrice or tickSize event to define a time slot during which I consider all messages pertaining to the same tick. The timer can be off for minutes if no new tickPrice nor tickSize events are received. Dont confuse this timer with the timer needed in the API to poll the message queue.
?
Hope this can help and also interessed in other ways to implement it.
?
Michel.
?
?

-----Mensaje original-----
De: mbluhm2001 [mailto:mbluhm2001@...]
Enviado el: viernes, 05 de julio de 2002 7:15
Para: twsapi@...
Asunto: twsapi: Re: Ways of filtering bad quotes from TWS

I guess the first question is why do you turn off your timer. I would
think that the only issue you could have is if your processing of the
ticks would last more than 200ms and that's alot of CPU cycles. But
your program works and my has problems so I would like to understand
this better.

In my program I never turn off my Timer. In my timer routine I call
m_pClient->checkMessages(); which I assume will call the tickPrice and
tickSize events in my program for each stock that has a new tick price
& size. After that I process the stocks with the new price looking for
entry/exits/stops trades.??

This is an example of the tick price I'm seeing from BRCD. I see this
on all of the stocks that I'm monitering. Here is what I saw tonight
with the times shown. Since the values are very close together I'm
assuming I must be doing something wrong.

16:44:41? BRCD? Out of Range Price = -1.000009?
17:05:53? BRCD? Out of Range Price = -1.000016?
17:10:33? BRCD? Out of Range Price = -1.000018?
17:18:20? BRCM? Out of Range Price = -1.000099?

Thanks,
Mark


--- In twsapi@y..., "Michel" wrote:
> I dont know how you handle your quotes and sizes so I can't help.
> The way in which I handle them is through the use of a 'one shoot'
timer of
> 200 ms. In my tickPrice event I update a variable LastPrice = price
and
> enable the timer. In my tickSize event I update a variable LastSize
= size
> and also enable the timer if it is not. Then in the Timer.Timer
event I
> disable the timer and do the job with LastPrice and LastSize.
> This way I allow a 200ms. time window after every price or size
event to
> wait for the second event (size or price) to update the other
variable and
> if the second event dont comes, simply the other variable is
unchanged when
> I use them in my Timer.timer event.
>
> Michel.
Carl Erikson
 

Hey Mark,

I don't know what is causing your problem. However, I
just wanted to mention that in my programs,

m_pClient->checkMessages()

is called everytime there is an event and is not
associated with any timer. If you check out the
latest SocketClient source from IB, they do this too
(they changed this from earlier versions where the
checkMessages() was on a timer). On the latest TWS,
check out:

SocketClient/src/EclientSocket.cpp, line 647

Seems like this shouldn't help (and probably won't),
but I haven't had bad quote problems like the ones you
are experiencing. Are these bad quotes coming from
the demo TWS or the real thing (or both)?

Good luck,
Carl

--- mbluhm2001 <mbluhm2001@...> wrote:
I guess the first question is why do you turn off
your timer. I would
think that the only issue you could have is if your
processing of the
ticks would last more than 200ms and that's alot of
CPU cycles. But
your program works and my has problems so I would
like to understand
this better.

In my program I never turn off my Timer. In my timer
routine I call
m_pClient->checkMessages(); which I assume will call
the tickPrice and
tickSize events in my program for each stock that
has a new tick price
& size. After that I process the stocks with the new
price looking for
entry/exits/stops trades.

This is an example of the tick price I'm seeing from
BRCD. I see this
on all of the stocks that I'm monitering. Here is
what I saw tonight
with the times shown. Since the values are very
close together I'm
assuming I must be doing something wrong.

16:44:41 BRCD Out of Range Price = -1.000009
17:05:53 BRCD Out of Range Price = -1.000016
17:10:33 BRCD Out of Range Price = -1.000018
17:18:20 BRCM Out of Range Price = -1.000099

Thanks,
Mark


--- In twsapi@y..., "Michel" <migurull@t...> wrote:
I dont know how you handle your quotes and sizes
so I can't help.
The way in which I handle them is through the use
of a 'one shoot'
timer of
200 ms. In my tickPrice event I update a variable
LastPrice = price
and
enable the timer. In my tickSize event I update a
variable LastSize
= size
and also enable the timer if it is not. Then in
the Timer.Timer
event I
disable the timer and do the job with LastPrice
and LastSize.
This way I allow a 200ms. time window after every
price or size
event to
wait for the second event (size or price) to
update the other
variable and
if the second event dont comes, simply the other
variable is
unchanged when
I use them in my Timer.timer event.

Michel.

[Michel] -----Mensaje original-----
De: mbluhm2001 [mailto:mbluhm2001@y...]
Enviado el: jueves, 04 de julio de 2002 21:35
Para: twsapi@y...
Asunto: twsapi: Re: Ways of filtering bad quotes
from TWS


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

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