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).