Multiple tick-size contracts
Posted: Jan 22 2013
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.
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.