Smart Safety & Quote Filtering Framework

"Un sistema progettato come una portaerei corazzata, pronta a dominare anche le tempeste più feroci dei mercati."

Overview

In high-frequency and options trading, milliseconds and micro-decisions separate success from catastrophe. Our framework implements robust logic to sanitize and stabilize quotes, defend against erratic market behavior, and maintain surgical precision under pressure.

Key Safety Mechanisms

Sliding Window Smoothing: Real-time greeks are processed through a rolling buffer to mitigate quote spikes.
Quote Validation Layers: Bid/Ask quotes pass through sanity thresholds and corridors before use.
Volatility & Range Checks: NaNs, extreme values, and ghost ticks are rejected instantly.
Delta Integrity: Distinct validation paths for calls and puts protect model coherence.

Order Lifecycle Intelligence

Status Tracking: Full lifecycle history of all IBKR orders, with status reconciliation.
PermID Mapping: Ensures traceability across sessions and reconnections.
Margin Feedback Integration: Instrument-level flags trigger defense logic on margin-related issues.

Instrument-Level Resilience

Short Sale Status: Real-time availability tracking via IBKR tick stream.
Cancellation Protection: Automated suspension of instruments with excessive rejections.
Quote Throttling: Reduces redundant quote updates that could trigger recursive calculations.

Advanced Quote Filtering & Spike Management

Dynamic Bid Filtering: Sudden bid drops are blocked unless confirmed by follow-up ticks.
Adaptive Confirmation: Jump size determines the number of confirmations needed.
Grid Snapping: Bids realigned relative to the current ask to preserve spread logic.
Loop Protection: Ensures previous state is only updated when truly confirmed.
Historical Buffering: Buffers store last N values for raw and filtered quotes.

This subsystem guarantees the platform reacts only to verified market data, never to noise.

Confidence in Real-Time Execution

Whether executing gamma scalping or managing structured spreads, this engine delivers full-spectrum safety, execution quality, and microsecond consistency across all instruments.

Learn more at gbotalgorithmic.com.