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trendmanagement / Tmqr-framework-2

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need to do data check to confirm the Keltner condition is functioning. #64

Open nikolas-joyce opened 6 years ago

nikolas-joyce commented 6 years ago

https://10.0.1.2:8889/notebooks/Kelt_Risk_Reversals/SmartEXO-Keltner-Channel-Visualization.ipynb have a look at this one with the ZN. image

thx

spickering-git commented 6 years ago

I found that there are some 0 values in the V2 intraday data. This happens in the after hours data. There is more scrubbing that goes on in V1 when making call at end of day, that's why it doesn't happen in V1. @alexveden, do you think these 0's matter, or should I set up code to remove these? It's just many times bar will be sent by CQG with 0's and this is from the live call of data, not the historical backfill from CQG.

alexveden commented 6 years ago

@alexveden, do you think these 0's matter, or should I set up code to remove these?

@spickering-git yes, you should do the filtering on your side, because adding the bad ticks filters degrade quotes building performance in 2-3 times.