question

Upvotes
Accepted
zhou avatar image
1 ●0 ●0 ●0

How to avoid k-line spikes

I have a tricky question to ask you, for ODDSALCOND in the pre-market and post-market we did not do rejection treatment, occasionally spikes will appear, such as shown in the figure, and we received data from Reuters as:

timestamp : 1609249647286, utcDate: 2020-12-29T13:47:27.286+0000
{"respType":"TRADE","symbol":"SPY","msgType":"MsgType.UPDATE_RESP","ACVOL_PRE":"61101","indicationFlags":"DO_NOT_CONFLATE","PRC_QL2":"147","NA_MSG_TYP":"T","NCHNG_PRE":"0.0000","ODD_TRDID":"0000A00IR7","_src":"TR","ODDTIM_MS":"13:47:27:259","secType":"[1]","tickerType":"3","ric":"SPY.NB","tid":12205858,"ODD_TRDVOL":"95","ODD_PRC":"372.1700","NUM_MOVES":"504","ODD_VOLUME":"5700","exchangeCode":"PSE","RETRAN_IND":"1","dataType":"NORMAL","ACVOL_1":"187023","etlTime":"2020-12-29T13:47:27.286+0000","exchangeId":"34","PCHNG_PRE":"0.00","realTimeType":"R","regionId":"6","ODDSALCOND":"@ To","ODD_EXID":"1354","gtid":"SPY12205858","etlTs":1609249647286,"tickerId":"913243251","ACVOL_UNS":"187023","PRC_QL_CD":"167"}

If now we want to exclude odd stocks with too much price deviation but not reasonably priced odd stocks, what is your best solution to this problem?

@zhouhao

rdp-apirefinitiv-data-platform
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

veerapath.rungruengrayubkul avatar image   veerapath.rungruengrayubkul

Hello @zhouhao

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query? If yes, please click the 'Accept' text next to the reply. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.

Thanks,

AHS

Alex Putkov.1 avatar image   Alex Putkov.1

@zhouhao

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,

-AHS

1 Answer

· Write an Answer
Upvotes
Accepted
Gurpreet avatar image
22k ●58 ●14 ●21

Hi @zhouhao,

Since your application is receiving all the trades, any filtering you deem necessary, would have to be done within your application logic. We are unable to suggest any particular filtering algorithm, but maybe you would like to start by omitting a trade where price is significantly different from the moving average or VWAP.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.