Tick Scheme ¶
Defines a scheme for modeling the tick space for various instruments.
- class FixedTickScheme ( unicode name , int price_precision , Price min_tick , Price max_tick , float increment: Optional[float] = None ) ¶
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Bases:
TickScheme
Represents a Fixed precision tick scheme such as for Forex or Crypto.
- Parameters :
- Raises :
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ValueError – If name is not a valid string.
- increment ¶
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The tick scheme price increment.
- Returns :
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Price
- max_price ¶
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The maximum valid price for the scheme.
- Returns :
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Price
- min_price ¶
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The minimum valid price for the scheme.
- Returns :
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Price
- name ¶
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The name of the scheme.
- Returns :
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str
- next_ask_price ( self , double value , int n=0 ) Price ¶
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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 :
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value ( double ) – The reference value.
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n ( int , default 0 ) – The number of ticks to move.
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- Returns :
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Price
- next_bid_price ( self , double value , int n=0 ) Price ¶
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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 :
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value ( double ) – The reference value.
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n ( int , default 0 ) – The number of ticks to move.
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- Returns :
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Price
- price_precision ¶
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The tick scheme price precision.
- Returns :
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int
- class TieredTickScheme ( unicode name , list tiers , int max_ticks_per_tier=100 ) ¶
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Bases:
TickScheme
Represents a tick scheme where tick levels change based on price level, such as various financial exchanges.
- Parameters :
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name ( str ) – The name of the tick scheme.
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tiers ( list [ tuple ( start , stop , step ) ] ) – The tiers for the tick scheme. Should be a list of (start, stop, step) tuples.
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max_ticks_per_tier ( int , default 100 ) – The maximum number of ticks per tier.
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- Raises :
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ValueError – If name is not a valid string.
- find_tick_index ( self , double value ) int ¶
- max_price ¶
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The maximum valid price for the scheme.
- Returns :
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Price
- min_price ¶
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The minimum valid price for the scheme.
- Returns :
-
Price
- name ¶
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The name of the scheme.
- Returns :
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str
- class TickScheme ( unicode name , Price min_tick , Price max_tick ) ¶
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Bases:
object
Represents an instrument tick scheme.
Maps the valid prices available for an instrument.
- Parameters :
- Raises :
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ValueError – If name is not a valid string.
- max_price ¶
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The maximum valid price for the scheme.
- Returns :
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Price
- min_price ¶
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The minimum valid price for the scheme.
- Returns :
-
Price
- name ¶
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The name of the scheme.
- Returns :
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str
- get_tick_scheme ( unicode name ) TickScheme ¶
- list_tick_schemes ( ) list ¶
- register_tick_scheme ( TickScheme tick_scheme ) void ¶
- round_down ( double value , double base ) double ¶
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Returns a value rounded down to a specific number of decimal places.
- round_up ( double value , double base ) double ¶
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Returns a value rounded down to a specific number of decimal places.