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:
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
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