Ticksize from Exchange/Broker

[shadowfax]

Hi,

Is there a way to determine from a Strategy, in realtime what the Ticksize for an instrument is, as opposed to using the TickSize as configured in NT?

I am using NT8 with TWS, and already found 2 securities (BKS and LNTH) where the Ticksize in NT is setup as 0.01, but the contract setup per Interactive Brokers is 0.05.

Please advise.

Thanks,
Alex

[NinjaTrader_ChelseaB]

Hello Alex,

NinjaTrader is not able to get the ticksize information from TWS.

This must be setup correctly in the instrument settings for the instrument to load correctly.

[shadowfax]

Ok - thank you.

[shadowfax]

Hi Chelsea,

A new pilot program was launched with the exchanges last year to change ticksize to 0.05:

http://www.finra.org/industry/tick-size-pilot-program

There are currently 2273 equities participating in this program, and everyday at least 1 or 2 show up in my scans.

Is there anyway a graceful solution for this can be implemented in NT? This is becoming a major pain in the neck because manually looking up each equity is time consuming, and I work with between 5-10 equities a day.

Please let me know if this can be added to list of features to NT, or better yet, if you can recommend a way to calculate ticksize in realtime (have not figured out how to do this part).

Thanks!

[shadowfax]

Workaround:

Downloaded the list of securities from the FNRA site, open file and check if equity is in the pilot. If yes - set ticksize to 0.05, otherwise keep at default.

[NinjaTrader_ChelseaB]

Hello shadowfax,

I have submitted a feature request on your behalf to the NinjaTrader Development to consider adding functionality that would query the TickSize of an instrument in real time from Interactive Brokers and included a link to your post.

Once I have a tracking ID for the request I will post in this thread for future reference.

[NinjaTrader_ChelseaB]

Hello shadowfax,

Your request to import TickSize from Interactive Brokers in real time is being tracked with ID #SFT-2518.

Please note it is up to the NinjaTrader Development to decide if and when a request will be implemented.

Thank you for your suggestion. Please let me know of any other suggestions you have for the NinjaTrader Platform.

[dcschultz]

I also vote for this feature.

[dcschultz]

I came up with the following workaround for this issue and it appears to be working. I'm using the FINRA tick size pilot list, though I don't know how often they modify it, or whether they plan to change this list at all for the remainder of the pilot program.

						
// Add this to your declarations to use StreamReader
using System.IO;

// ***********************************************************

// Under public class ****** : Strategy
private string path;
private StreamReader sr;

// ***********************************************************

// Under State.SetDefaults
path	= "C:\\Tick_Pilot_Test_Group_Assignments.txt";

// ***********************************************************

// In OnBarUpdate - preferably only called when entry point price conditions are met:
sr = new System.IO.StreamReader(path);
string line;
				
// Read lines and check if current instrument is in a test group of the pilot program 
// While loop will go through the whole file.
while ((line = sr.ReadLine()) != null) 
{
	if (line.StartsWith(Position.Instrument.MasterInstrument.Name + "|"))
	{
		if (line.EndsWith("|G1") || line.EndsWith("|G2") || line.EndsWith("|G3"))
		{
			// Avoid IB rejection
			LimitPrice = Math.Round(LimitPrice*20)/20;
			StopPrice = Math.Round(StopPrice*20)/20;
		}
		break;
	}
}