Shielding wires is not that daunting of a task.
Make sure you source quality wire from trusted shops like Racetronix, Summit, Holley, or similar. I've also repurposed OEM shielded wire with success.
For gauge, 20 AWG should be fine in most situations, but always consult your sensor datasheet to be sure.
When shielding the wire, make sure you GROUND ONLY ONE END — do not ground both ends. You should be tying this in with your other sensor grounds unless you're told otherwise.
You can add disconnects in the middle of your shielded wire (OEM does on some models) — just ensure you run the shielded wire into and out of one of the pins so the shielding stays continuous until it reaches the end.
Follow your manufacturer's recommended wiring practice when installing shielded wiring. It doesn't hurt to shield unnecessary wires, but not shielding important timed signals will have a negative effect.
The signal that is being received at the other end is much cleaner when shielded.
If you're at all familiar with radio and SNR (Signal-to-Noise Ratio), the concepts and interference are similar in these signals. If you aren't familiar with SNR, that's ok — I'll explain.
The absolute basics are easily understood if you think of a radio station signal you're trying to receive from far away. You're barely able to understand it, but it is still intelligible. This is due to high noise and attenuation of the signal.
The signals on these wires are similar — they're just being transferred via copper instead of air. The ECU is trying to interpret them, but if the wires aren't shielded from outside interference, you'll get noise injected.
Once the signal gets buried by the noise from different outputs and "noise makers" like the alternator, ignition coils, fuel injectors, solenoids, etc., the ECU will have trouble seeing a clear signal.
Our ears can listen to a signal that's buried in interference and still discern human voice or a song — but ECUs aren't that smart. They're programmed to see a certain type of signal, and once it gets buried a bit by outside noise, it errors out.
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