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Recognizing a "spurious rogue price"
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Author:  Dewey McG [ Tue Feb 26, 2013 9:57 pm ]
Post subject:  Recognizing a "spurious rogue price"
I had an issue with an anomolous spike causing an SL I should not have had. The broker is being good about this and amending the trade. However, he said something interesting:

"Your EA 'chose' to execute on a price that was away from the market prior quotes. My own software monitors all prices to ensure that they are within a reasonably range based on the last quotes to ensure that I don't get 'faked out' in times of fast markets. I don't know whether the EA is your own code or not but for sure if it is then you should take some steps to confirm prices before your EA acts on them and that way you won't be at the mercy of spurious rogue prices."

How would you code your EA from not acting upon spurious rogue prices?
Author:  fxdaytrader [ Wed Feb 27, 2013 6:06 am ]
Post subject:  Re: Recognizing a "spurious rogue price"
Not sure, just an idea:

You could compare your local or server (vps) time with the time on the brokers server (e.g. only the minute, or better second). If the difference is to high, do not enter the trade.
Author:  phil_trade [ Wed Feb 27, 2013 9:50 am ]
Post subject:  Re: Recognizing a "spurious rogue price"
Hi

You could check delta pips betwwen Bid/Open M1 candle and Open/Close M1 of 2 last candles to insure a maximum gap

not tested :

Code: Select all

if ( MAthAbs( iOpen(MyPair,M1,0) - MarketInfo(MyPair,MODE_BID) ) < DeltaPipsMaxi * MarketInfo(MyPair,MODE_POINT) and
MAthAbs( iOpen(MyPair,M1,0) -  iClose(MyPair,M1,1)  < DeltaPipsMaxi * MarketInfo(MyPair,MODE_POINT)) then
...
Author:  gaheitman [ Sat Mar 02, 2013 9:23 pm ]
Post subject:  Re: Recognizing a "spurious rogue price"
Dewey McG wrote:I had an issue with an anomolous spike causing an SL I should not have had. The broker is being good about this and amending the trade. However, he said something interesting:

"Your EA 'chose' to execute on a price that was away from the market prior quotes. My own software monitors all prices to ensure that they are within a reasonably range based on the last quotes to ensure that I don't get 'faked out' in times of fast markets. I don't know whether the EA is your own code or not but for sure if it is then you should take some steps to confirm prices before your EA acts on them and that way you won't be at the mercy of spurious rogue prices."

How would you code your EA from not acting upon spurious rogue prices?
This is an interesting question. I think I would rather get out on my SL no matter why it was hit. In the rare case that it is bad data from a feed I'll take my chances arguing with my broker to set it right. If it triggers because of a global event causing the "Empty4 to hit the fan" (see what I did there? ;>) I'd rather get out while the getting is good. I'd hate to ignore a large change in price that was going against me and have it be a valid price....

George
Author:  Dewey McG [ Sun Mar 03, 2013 3:02 am ]
Post subject:  Re: Recognizing a "spurious rogue price"
gaheitman wrote:
Dewey McG wrote:I had an issue with an anomolous spike causing an SL I should not have had. The broker is being good about this and amending the trade. However, he said something interesting:

"Your EA 'chose' to execute on a price that was away from the market prior quotes. My own software monitors all prices to ensure that they are within a reasonably range based on the last quotes to ensure that I don't get 'faked out' in times of fast markets. I don't know whether the EA is your own code or not but for sure if it is then you should take some steps to confirm prices before your EA acts on them and that way you won't be at the mercy of spurious rogue prices."

How would you code your EA from not acting upon spurious rogue prices?
This is an interesting question. I think I would rather get out on my SL no matter why it was hit. In the rare case that it is bad data from a feed I'll take my chances arguing with my broker to set it right. If it triggers because of a global event causing the "Empty4 to hit the fan" (see what I did there? ;>) I'd rather get out while the getting is good. I'd hate to ignore a large change in price that was going against me and have it be a valid price....

George

Good point! If it were a major global event we would not want to wait for another tick to get out.

It's still a pain to deal both with the broker and the liquidity provider to get them to do the right thing.
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