Nasdaq tick size pilot program

[Numbo]

Hi there,

Finra has implemented a pilot program whereby the tick size of certain stocks is 5 cents instead of 1 cent. Whilst I have not yet tested this with live order entries using NT8, I understand from placing orders in Interactive Brokers TWS that submitting limit orders using the default 1 cent rounding in NT8 will result in rejected orders by Interactive Brokers platform as the orders do not conform to the minimum tick size.

The list of stocks with 5 cent tick size is dynamic and found here, there are 2270 securities today:

http://tsp.finra.org/finra_org/ticksizepilot/TSPilotSecurities.txt

Given the number of securities, changing the tick size in NT8 and dynamic nature of the list is not practical I believe.

As an alternative, I understand it would be possible to import the contents of a text file (e.g. downloaded from the link above) and add the stocks to a list in strategy code. When entering orders the instrument to be traded could be checked if it is contained in the list of stocks with 5 cent tick size and if so then have the limit, target and stop orders rounded to five cents.

Do you agree that this is the best way to handle this problem and if so can you provide some links / suggestions on how to go about it.

Thanks.

Numbo

[NinjaTrader_ChelseaB]

Hello Numbo,

This post is in the Strategy Development section of the forums.

Are you attempting to create a NinjaScript Strategy that imports instruments into NinjaTrader and adds these to a list?

This is not supported by NinjaTrader Development to do, but may be possible using unsupported methods.

http://ninjatrader.com/support/forum/showthread.php?p=512423#post512423

[Numbo]

Hi Chelsea,

No, the list of stocks is already hardcoded in the strategy and the stocks are already available in Ninjatrader. Reference this post for the example strategy code:

http://ninjatrader.com/support/forum/showthread.php?p=514413&posted=1#post514413

However all of the stocks show a 1 cent tick size which is not the actual tick size. So I want to be able to cross take the instrument name that has been added to the strategy through the AddDataSeries method and check an external list as to whether it has a 5 cent tick size, if so then the rounding on orders is to be to 5 cents instead of the default 1 cent in NT8.

I hope this clarifies the question.

Numbo

[NinjaTrader_ChelseaB]

Hello Numbo,

If you are creating instruments that have an incorrect tick size in the Instrument window, this will cause your orders to fill at unexpected prices on the exchange.

I would not recommend adding instruments with an incorrect tick size to the database in the Instrument window.

To find (not set) an instruments tick size from code you need the Instrument object.

<instrument>.MasterInstrument.TickSize.

http://ninjatrader.com/support/helpGuides/nt8/en-us/masterinstrument_ticksize.htm

[Numbo]

Hi Chelsea,

Ok, so if the ticksize needs to be updated in the instruments in Ninjatrader to reflect the 5 cents tick increment, what is the best way to update 2270 symbols?

Is there an automated way to do this, either by importing them in bulk with the correct tick size or another way? Manual update is not really practical hence why I was looking for ways to manage this in the code.

How do you suggest the database is maintained given the symbols which have a 5 cent tick size will continue to change?

Thanks.

Numbo

[NinjaTrader_AlanP]

Hello Numbo,

The solution here would be to import a stock list and set that lists tick size upon import, which currently is not possible however I will submit a feature request for this.

For now you will have to manually change the tick size of those stocks you're looking to trade which trade in nickles.

Please let us know if you need further assistance.

[NinjaTrader_AlanP]

Hello Numbo,

The feature request ID to allow you to select tick size of an imported stock list is SFT-2565. Votes for this feature are now being tracked.

Please let us know if you need further assistance.

[dcschultz]

Add my vote to this feature.

I expect NT to perform the proper rounding on my orders. Instead IB rejects my order and if it's an exit, immediately closes my position that I just entered. I am basically paying a penalty for entering and immediately exiting a position every time this happens.

[NinjaTrader_PaulH]

Hello dcschultz,

Thanks for your post.

You vote has been added to SFT-2565.

Thank-you.