Different tick size based on different prices

[Profitmake]

Tick size is configurable in NinjaTrader 7. But I would like to ask what I should do if the tick size changes based on the price of the instrument. For example,

Stock Price________Tick Size
$0.01 to $00.25_____$0.001
$0.25 to $00.50_____0.005
$0.50 to $10.00_____$0.01

The current setting poses a problem when the instrument is trading at the border of two different tick size groups.

[NinjaTrader_Jason]

Hello Profitmake,

I am not sure if I follow. The Instrument Editor window contains many tick sizes which should allow you to setup any instrument you like.

If this is not the case, please let me know what instrument uses a tick size that is not available.

[Profitmake]

Hello Profitmake,

I am not sure if I follow. The Instrument Editor window contains many tick sizes which should allow you to setup any instrument you like.

If this is not the case, please let me know what instrument uses a tick size that is not available.

What I mean is the tick size changes based on what the price of the instrument is. For example,

Stock Price________Tick Size
$0.01 to $00.25_____$0.001
$0.25 to $00.50_____0.005
$0.50 to $10.00_____$0.01

If the current price of the instrument is 0.25, the price ladder would be:
0.0247
0.0248
0.0249
0.025
0.0255
0.0260

The first part uses 0.001 as tick size. The second part uses 0.005 as tick size. How can I solve this problem?

[NinjaTrader_Jason]

Are you saying a stock instrument uses multiple tick sizes?

A stock instrument in version 6.5 uses a tick size of 0.01, which cannot be changed.

You can only setup one tick size per instrument as well.

[Profitmake]

Yes a stock instrument which uses multiple tick sizes according to the prices. Many stock exchanges have such a setup so this is a common issue.

Is there any solution or workaround on this issue?

[NinjaTrader_Jason]

Unfortunately not, stock instruments can only have a tick size of 0.01 selected in NinjaTrader 6.5.

NinjaTrader 7 will allow you to select the tick size you like. However, you can still only select one tick size per instrument.

[Profitmake]

NinjaTrader 7 will allow you to select the tick size you like. However, you can still only select one tick size per instrument.

But that will cause problems for exchanges whose stocks have multiple tick size structures? Will you or your team to do anything to solve this issue?

[NinjaTrader_Jason]

I am not aware of such stocks. Can you please tell me what stocks use different tick sizes when they trade at different prices.

Perhaps you can include a link to the exchange's website that lists these stocks?

[Profitmake]

Yes of course. There are many of them. Many exchanges are not as simple as US exchanges, Australian Securities Exchange, Hong Kong Stock Exchange, Tokyo Stock Exchange, Jakarta Stock Exchange, to name but a few.

For example tick size structures of stock at Hong Kong stock exchange

Stock Price_________Tick Size
$0.01 to $0.25________$0.001
$0.25 to $0.50________$0.005
$0.50 to $10.00________$0.01
$10.01 to $20.00________$0.02
$20.01 to $100.00________$0.05
$100.01 to $200.00________$0.10
$200.01 to $500.01________$0.20
$500.01 to $1000.00________$0.50
$1000.01 to $2000.00________$1.00
$2000.01 to $5000.00________$2.00
$5000.01 to $9995.00________$5.00

Only stock trading at $0.5-$10 has the tick size of $0.01

Example

0005 (HKEX):

http://www.reuters.com/finance/stocks/chart?symbol=0005.HK

(Tick size is 0.05 since its current price is about $75)

8159 (HKEX):

http://www.reuters.com/finance/stocks/chart?symbol=8159.HK

(Tick size is 0.005 since its current price is about $0.33)
(Tick size was once 0.001 when it's traded below $0.25)

PS: You may take a look at this page. It list tick size structures of different Asian exchanges. I'm not sure how updated it is but you get the idea. Many exchanges do have multiple tick size structures.

[NinjaTrader_Jason]

I will check into this next week. Thank you for your patience.

[NinjaTrader_Jason]

I have forwarded your inquiry to support multiple tick sizes per instrument for different price levels. Thank you for informing us.

[paulchow2k]

I have forwarded your inquiry to support multiple tick sizes per instrument for different price levels. Thank you for informing us.

Thanks for letting us know Jason, that would make importing codes a lot easier. I'm entering my ASX codes manually.

regards

paul

[hankt]

What has happened for equity support outside of N.America?

I have forwarded your inquiry to support multiple tick sizes per instrument for different price levels. Thank you for informing us.

For those not trading in tick sizes of 0.01 and lot sizes of 1, we need to be able to define market rules. Not having these mechanics correct leaves the strategy analyst with flawed backtest data due to size rounding. How about 100 shares trade per lot in Tencent/0700.HK (tick size 1.00) while round lots are 4,000 shares in Brockman Mining/0159.HK (tick size 0.005) and 50,000 shares trade per lot in Newsmart Energy/0091.HK (tick size 0.001). You cannot trade in sizes below these values on the exchange.

The tick/spread rules for Hong Kong (and you need to define for most markets outside of N.America!!!)

Price Range tick/spread size
From
0.01 to 0.25_____0.001

Over
0.25 to 0.50_____0.005

Over
0.50 to 2.00_____0.010

Over
2.00 to 5.00_____0.025

Over
5.00 to 30.00_____0.050

Over
30.00 to 50.00_____0.100

Over
50.00 to 100.00_____0.250

Over
100.00 to 200.00_____0.500

Over
200.00 to 1,000.00_____1.000

Over
1,000.00 to 9,995.00____2.500

Once we get this licked, we can go into currency normalization - account is kept in HKD but risk starts as an equal weighting for each trade in HKD, JPY, SGD, AUD, etc. and thus we need current FX rate to begin to allocate capital toward trade sizing.

Next, pass on to kineticks that "Broad Market Coverage" & "World Leading Exchanges" would mean a majority of equity markets outside of N. America to most readers of that statement. Start with the developed world as defined by MSCI as a first step. Work that list by market cap - which could entail dropping support for Canada for a long time while kineticks catches up.

By the way, nobody is doing it right. For the support of a few traders in the New World, plenty of quantitative traders in Asia are being overlooked as users - forget the mostly retail driven markets of Asia. Get it right and you'll find better than 100% increase in your current paid users.

[NinjaTrader_Jason]

Hello hankt,

I will forward your vote to support multiple tick sizes per instrument to development as well as your comments regarding Kinetick.

Thank you for your feedback.

[hankt]

Tick size is configurable in NinjaTrader 7. But I would like to ask what I should do if the tick size changes based on the price of the instrument. For example,

Stock Price________Tick Size
$0.01 to $00.25_____$0.001
$0.25 to $00.50_____0.005
$0.50 to $10.00_____$0.01

The current setting poses a problem when the instrument is trading at the border of two different tick size groups.

This table needs to be per market...