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forex tick filtering algorithms


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forex tick filtering algorithms

  #1 (permalink)
RJ3000
New York, NY, USA
 
Posts: 16 since Oct 2010
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Hey all - does anyone have any experience/info/advice with regard to realtime tick filtering?
i have a good unfiltered forex tick feed, and would like to apply some filtering before i apply
indicators to it....i am programming in f#, but any general comments would be appreciated...thanks

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  #3 (permalink)
 
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 Big Mike 
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RJ3000 View Post
Hey all - does anyone have any experience/info/advice with regard to realtime tick filtering?
i have a good unfiltered forex tick feed, and would like to apply some filtering before i apply
indicators to it....i am programming in f#, but any general comments would be appreciated...thanks

You would never want to filter a good feed. Makes no sense. If you are applying filters, it's because the feed is bad, or because you have insufficient bandwidth/resources to process all ticks.

Mike



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  #4 (permalink)
RJ3000
New York, NY, USA
 
Posts: 16 since Oct 2010
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Big Mike View Post
You would never want to filter a good feed. Makes no sense. If you are applying filters, it's because the feed is bad, or because you have insufficient bandwidth/resources to process all ticks.

Mike

Thanks for the reply, Mike...I was thinking more of filtering what gets sent to the indicators, because this feed includes some wild ticks every so often (Integral's TrueFX web query-able prices), not really filtering the display of the feed itself...

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  #5 (permalink)
RJ3000
New York, NY, USA
 
Posts: 16 since Oct 2010
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interesting possibility....along with the reasoning for why lol....

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