Multiple tick-size contracts

Hello,

I’m trying to run a strategy that involves options with multiple tick size vales based on the actual price. The option trades with a .01 tick value anywhere between 0 and 3.00, and .05 tick value anywhere above 3 (3.05, 3.10, 3.15, etc.).

I’ve already executed real trades using normal buy and sell orders attached to my strategy, this works great and adapts to the value change transparently. However, when instituting (back testing only) the SetProfitTarget function with the given target it shows “exact” values in the report – this is fine for anything trading still at .01 ticks but not when it’s at 0.05 ticks and it displays something like 3.07 or 4.23. In those two examples it would have to be either 3.05 or 3.10 and 4.20 or 4.25.

I’m not overly concerned about the report, I can live with that if it can’t be changed but I’m worried MC will “attempt” to send orders to my broker using these invalid prices – this would be bad.

Does anyone know the expected real life behavior of this situation, or any ways to tweak my strategy to take into account this tick size change?

Thanks.

When the strategy enters an order,
eg, BUY at 3.07,
the official statement is
BUY at 3.07 or better.

Your order will be executed at worst at 3.05.


The same applies to all the other instruments.
eg. ES trades at 0.25 increments.
If your strategy triggered a moving average cross over buy signal at 1488.32,
your broker will interpret the order as
buy at 1488.32 or better.
The worst fill you will get is 1488.25.

Hope the above helps.

Thanks TJ,

This is good to know, and answers my questions exactly.

Unfortunately, at least with Interactive Brokers it functions with an error when a price is sent within a tick: The price does not conform to the minimum price variation for this contract.

I would have to guess at this point that the strategy would have to be coded as such to handle this difference? I don’t see any options inside MC for this exotic movement.

Hello seandean,

Is your datafeed different from your broker?
If yes then here is what you need to do:
1) Re-add IB symbols from the data source: In the Quote manager please go to Instrument tab->Add symbol->From data source-> IB.
2) Right click on IB symbol in QuoteManager->Edit symbol->Settigns tab-> Memorize the settings
3) Right click on the chart symbol in QuoteManager->Edit symbol->on the Settigns tab you need to apply the IB instrument settings you have memorized
4) You need to rebuild your charts. You can plot a new chart, close/open your workspace to make the settings come into effect

If IB is your datafeed and broker at the same time then follow steps 1 and 4 only.