Tick Scheme

Defines a scheme for modeling the tick space for various instruments.

class FixedTickScheme

Bases: TickScheme

FixedTickScheme(str name, int price_precision, Price min_tick, Price max_tick, float increment: float | None = None)

Represents a fixed precision tick scheme such as for Forex or Crypto.

• Parameters:
  • name (str) – The name of the tick scheme.
  • price_precision (int) – The instrument price precision.
  • min_tick (Price) – The minimum possible tick Price.
  • max_tick (Price) – The maximum possible tick Price.
  • increment (float , optional) – The tick increment.
• Raises: ValueError – If name is not a valid string.

increment

The tick scheme price increment.

• Returns: Price

next_ask_price(self, double value, int n=0) → Price

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick.

• Parameters:
  • value (double) – The reference value.
  • n (int , default 0) – The number of ticks to move.
• Return type: Price

next_bid_price(self, double value, int n=0) → Price

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick.

• Parameters:
  • value (double) – The reference value.
  • n (int , default 0) – The number of ticks to move.
• Return type: Price

price_precision

The tick scheme price precision.

• Returns: int

class TieredTickScheme

Bases: TickScheme

TieredTickScheme(str name, list tiers, int price_precision, int max_ticks_per_tier=100)

Represents a tick scheme where tick levels change based on price level, such as various financial exchanges.

• Parameters:
  • name (str) – The name of the tick scheme.
  • tiers (list *[*tuple *(*start , stop , step ) ]) – The tiers for the tick scheme. Should be a list of (start, stop, step) tuples.
  • max_ticks_per_tier (int , default 100) – The maximum number of ticks per tier.
• Raises: ValueError – If name is not a valid string.

find_tick_index(self, double value) → int

next_ask_price(self, double value, int n=0) → Price

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick.

• Parameters:
  • value (double) – The reference value.
  • n (int , default 0) – The number of ticks to move.
• Return type: Price

next_bid_price(self, double value, int n=0) → Price

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick.

• Parameters:
  • value (double) – The reference value.
  • n (int , default 0) – The number of ticks to move.
• Return type: Price

ticks

get_tick_scheme(str name) → TickScheme

register_tick_scheme(TickScheme tick_scheme) → void

class FixedTickScheme

Bases: TickScheme

FixedTickScheme(str name, int price_precision, Price min_tick, Price max_tick, float increment: float | None = None)

Represents a fixed precision tick scheme such as for Forex or Crypto.

• Parameters:
  • name (str) – The name of the tick scheme.
  • price_precision (int) – The instrument price precision.
  • min_tick (Price) – The minimum possible tick Price.
  • max_tick (Price) – The maximum possible tick Price.
  • increment (float , optional) – The tick increment.
• Raises: ValueError – If name is not a valid string.

increment

The tick scheme price increment.

• Returns: Price

max_price

The maximum valid price for the scheme.

• Returns: Price

min_price

The minimum valid price for the scheme.

• Returns: Price

name

The name of the scheme.

• Returns: str

next_ask_price(self, double value, int n=0) → Price

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick.

• Parameters:
  • value (double) – The reference value.
  • n (int , default 0) – The number of ticks to move.
• Return type: Price

next_bid_price(self, double value, int n=0) → Price

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick.

• Parameters:
  • value (double) – The reference value.
  • n (int , default 0) – The number of ticks to move.
• Return type: Price

price_precision

The tick scheme price precision.

• Returns: int

class TieredTickScheme

Bases: TickScheme

TieredTickScheme(str name, list tiers, int price_precision, int max_ticks_per_tier=100)

Represents a tick scheme where tick levels change based on price level, such as various financial exchanges.

• Parameters:
  • name (str) – The name of the tick scheme.
  • tiers (list *[*tuple *(*start , stop , step ) ]) – The tiers for the tick scheme. Should be a list of (start, stop, step) tuples.
  • max_ticks_per_tier (int , default 100) – The maximum number of ticks per tier.
• Raises: ValueError – If name is not a valid string.

find_tick_index(self, double value) → int

max_price

The maximum valid price for the scheme.

• Returns: Price

min_price

The minimum valid price for the scheme.

• Returns: Price

name

The name of the scheme.

• Returns: str

next_ask_price(self, double value, int n=0) → Price

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick.

• Parameters:
  • value (double) – The reference value.
  • n (int , default 0) – The number of ticks to move.
• Return type: Price

next_bid_price(self, double value, int n=0) → Price

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick.

• Parameters:
  • value (double) – The reference value.
  • n (int , default 0) – The number of ticks to move.
• Return type: Price

ticks

class TickScheme

Bases: object

TickScheme(str name, Price min_tick, Price max_tick)

Represents an instrument tick scheme.

Maps the valid prices available for an instrument.

• Parameters:
  • name (str) – The name of the tick scheme.
  • min_tick (Price) – The minimum possible tick Price.
  • max_tick (Price) – The maximum possible tick Price.
• Raises: ValueError – If name is not a valid string.

max_price

The maximum valid price for the scheme.

• Returns: Price

min_price

The minimum valid price for the scheme.

• Returns: Price

name

The name of the scheme.

• Returns: str

next_ask_price(self, double value, int n=0) → Price

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick (inclusive).

• Parameters:
  • value (double) – The reference value.
  • n (int , default 0) – The number of ticks to move.
• Return type: Price

next_bid_price(self, double value, int n=0) → Price

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick (inclusive).

• Parameters:
  • value (double) – The reference value.
  • n (int , default 0) – The number of ticks to move.
• Return type: Price

get_tick_scheme(str name) → TickScheme

list_tick_schemes() → list

register_tick_scheme(TickScheme tick_scheme) → void

round_down(double value, double base) → double

Returns a value rounded down to a specific number of decimal places.

If value is already on the boundary, returns the same value (price-inclusive).

round_up(double value, double base) → double

Returns a value rounded up to a specific number of decimal places.

If value is already on the boundary, returns the same value (price-inclusive).