Increasing the Manageability of Tick Data Using Point & Figure Charting

Abstract

Analysts working with high frequency financial markets data quickly discover that even relatively simple analyses can consume significant computing time. This paper provides a method for filtering data files so that the basic price data is maintained, but 'noise' that can unnecessarily slow processing can be removed. The data was filtered using the same techniques for creating a point & figure chart, but used them to increase the manageability of high frequency data. Point & figure reduced average file sizes to less than 5% of original size while maintaining much of the price change information when examining three contracts traded on the Sydney Futures Exchange between 1994 and 1997.

JEL Classification: C10, G10