What is tick filtering?

Tick filtering is a function where each incoming tick is evaluated in relation to the last known price and if it is outside of a user defined percentage value, the tick is thrown away and not distributed to any NinjaTrader object that requires market data such as advanced charts or strategies. This prevents data spikes from showing on your charts and can also prevent unwanted actions taken by automated strategies due to a data spike.

How does it work?

A bad tick is detected if the tick price is less than the last valid traded price - (last traded Price * (1 - bad tick offset as %))

A bad tick detected if the tick price is greater than the last valid traded price + (last traded Price * (1 + bad tick offset as %))

If a bad tick is detected but the prior two ticks were also bad ticks, then the tick being processed is now a valid last traded price and is NOT filtered out

How do I enable tick filtering?

You can enable real-time tick filtering by selecting the menu Tools > Options from the Control Center window which will bring up the "Options" dialog window. Within the "Options" dialog window click on the "Data" tab.  Under the "General" sub tab you can place a check mark next to "Enabled" under the "Real-time tick filter and set the "Bad tick offset as %" value.

When should I used tick filtering?

• If you are using a market data vendor where you often see data spikes coming in
• If you trade primarily equities
• If you are running automated strategies where a data spikes have implications