Filtering Equity Tick Data by Exchange
Summary
This example demonstrates applying a custom data filter to tick data for an equity. The filter accepts a tick only when its exchange identifier matches ARCA and rejects other data, illustrating how a researcher can restrict incoming market events before using them in an algorithm. The example then logs the exchange field and places a holdings order after data arrives; that trading action serves as demonstration plumbing rather than a tested strategy.
The source notes that raw ticks can contain spikes or glitches, motivating data filtering before analysis. It does not quantify the frequency or impact of bad ticks, compare alternative filters, or show whether exchange-only selection improves a trading result. Filtering by venue also deliberately excludes ticks from other exchanges, which may omit useful market information depending on the research question. The example is therefore useful as a basic data-handling pattern, with no performance evidence or general claim that this specific rule is suitable for every dataset.
Key ideas
- A custom security data filter can accept or reject individual tick events before algorithm processing.
- The example accepts ticks based on an ARCA exchange identifier.
- Exchange filtering can simplify incoming data but excludes events from other venues.
- The document motivates filtering by possible tick glitches but provides no comparative or performance evidence.
Tags
Full text
# TickDataFilteringAlgorithm
# TickDataFilteringAlgorithm
## Source (Apache-2.0)
```python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from datetime import timedelta
from AlgorithmImports import *
# <summary>
# Demonstration of filtering tick data so easier to use. Tick data has lots of glitchy, spikey data which should be filtered out before usagee.
# </summary>
# <meta name="tag" content="filtering" />
# <meta name="tag" content="tick data" />
# <meta name="tag" content="using data" />
# <meta name="tag" content="ticks event" />
class TickDataFilteringAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2013, 10, 7)
self.set_end_date(2013, 10, 7)
self.set_cash(25000)
spy = self.add_equity("SPY", Resolution.TICK)
#Add our custom data filter.
spy.set_data_filter(TickExchangeDataFilter(self))
self._order_time = None
# <summary>
# Data arriving here will now be filtered.
# </summary>
# <param name="data">Ticks data array</param>
def on_data(self, data):
if not data.contains_key("SPY"):
return
spy_tick_list = data["SPY"]
# Ticks return a list of ticks this second
for tick in spy_tick_list:
self.debug(tick.exchange)
if not self.portfolio.invested:
self.set_holdings("SPY", 1)
self._order_time = self.time
# Let's shortcut to reduce regression test duration
elif self.time - self._order_time > timedelta(minutes=5):
self.quit()
# <summary>
# Exchange filter class
# </summary>
class TickExchangeDataFilter(SecurityDataFilter):
# <summary>
# Save instance of the algorithm namespace
# </summary>
# <param name="algo"></param>
def __init__(self, algo: IAlgorithm):
self.algo = algo
super().__init__()
# <summary>
# Filter out a tick from this vehicle, with this new data:
# </summary>
# <param name="data">New data packet:</param>
# <param name="asset">Vehicle of this filter.</param>
def filter(self, asset: Security, data: BaseData):
# TRUE --> Accept Tick
# FALSE --> Reject Tick
if isinstance(data, Tick):
if data.exchange == str(Exchange.ARCA):
return True
return False
```Shown in full with attribution under the source's licence. Licence: Apache-2.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.