Idea for filtering extreme volatility

[pstrusi]

Hi Ninjas,

I'm thinking how to build an effective extreme volatility filter. This scenario is easily detected in the Tick chart. Any big moving report day could trigger this nasty scenario for end-users Algo. So I have some ideas but I have this doubt:

If my script works normally with Range Bars, but in order to filter the extreme volatility times I have to add a new bar object ( but in ticks ), so any tick event must be examined by this simple filter. My question is:

In your opinion, adding a new Bar object in Ticks to do a simple task for each tick, could affect the Script's normal performance time cause it might have overload my system ? I think NOT, but do you have some experience to shed light on this matter?

Thanks

[NinjaTrader_PatrickH]

Hello pstrusi,

Thank you for your post.

If it is a rather simple calculation you should not see any effect however, if the calculation is very complicated than having it work on each tick could result in a drop in performance.

Please let me know if you have any questions.