Setting tick value for equities with Symbol Info Manager
Author: superticker
Creation Date: 11/27/2016 7:01 AM
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superticker

#1
Is there a tricky way to set the trading value (tick) of specific stock equities (not future contracts) to the nearest nickle with Symbol Info Manager? I've tried to do it without success.
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Eugene

#2
How does the tool's rightmost button read: "Enable futures mode" or "Disable futures mode"?
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superticker

#3
I've tried both ways (enabled & disabled futures mode). I also tried defining the symbol as an equity and a future contract without success. The simulation of the symbol in question still trades (simulates) at the nearest penny instead of the nearest nickle when 0.05 is defined as its tick value. I'm assuming that's not right.... Right? What could I be missing?

Can you post a screenshot of your Symbol Info Manager window?
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Eugene

#4
I take my words back, it works sparsely. Cone may know better than me.
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superticker

#5
I'm "guessing" the WL framework works fine; otherwise, experienced users would be griping. So I'm thinking that the WL User's Guide has omitted salient steps to getting this to work successfully. I wish the User's Guide included all salient steps for using the Symbol Info Manager.

Is invoking a Position Sizer (via Portfolio Simulation Mode) a mandatory requirement when using the Symbol Info Manager? The WL User's Guide mentions nothing about this. Should it? I just tried using a PosSizer, but that didn't help either.

The WL User's Guide says that Bars properties like Bars.Tick are available to strategies (i.e., inherited from WeathScript). Is that really true? If so, then why can't IntelliSense find Bars properties for .Tick, .Margin, and .PointValue in my strategy? The compiler says a Bars.Tick property is undefined when I try to compile my strategy. Am I missing a ...
CODE:
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statement or assembly? I noticed PosSizer code inherits from BasicPosSizer, not WealthScript, so I know these properties are visible from there.

The Quick Reference Guide doesn't show any .Tick, .Margin, or .PointValue properties for the Bars object, but I realize it's not complete.
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Eugene

#6
QUOTE:
The Quick Reference Guide doesn't show any .Tick, .Margin, or .PointValue properties for the Bars object, but I realize it's not complete.

It's in the SymbolInfo category.

QUOTE:
Is invoking a Position Sizer (via Portfolio Simulation Mode) a mandatory requirement when using the Symbol Info Manager?

Of course not.

QUOTE:
I'm "guessing" the WL framework works fine; otherwise, experienced users would be griping

Sure it works. It's not advertised that the Tick property should round up (down) the data itself to the nearest "nickel" if it (the data) already contains "pennies".
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superticker

#7
QUOTE:
The Quick Reference Guide doesn't show any .Tick, .Margin, or .PointValue properties for the Bars object,...
QUOTE:
It's in the SymbolInfo category.
Thanks, I got it.
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And it works as expected.

QUOTE:
It's not advertised that the Tick property should round up (down) the data itself to the nearest "nickel" if it (the data) already contains "pennies".
So is it the PosSizer's code that would be responsible for this nickel-rounding function?

I just realized I never stated what I wanted to actually do. This is about adapting WL to the new SEC tick pilot program: http://www.fidelity.com/tickpilot/ Basically, certain stocks are now going to be traded in nickel increments.

So I implemented a simple class to do that, which I can share. Then I discovered the Symbol Info Manager and thought it could do the same thing. Well, as you said, it's not advertised to do rounding out of the box. So what the best way to add such a nickel rounding feature to WL?

I already wrote a simple class to do this given a string array of stock symbols that needs nickel rounding. But now I'm thinking it would be better to write a PosSizer that does this rounding instead, if that's preferable. What would you do?
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Eugene

#8
QUOTE:
I just realized I never stated what I wanted to actually do.

Congratulations, you're in Top 3 now ;)

Support for the Tick Size Pilot program?
Stocks with Non-1-Cent Tick Values

QUOTE:
So is it the PosSizer's code that would be responsible for this nickel-rounding function?

No, PosSizers only size positions and nothing else. But in one of those discussions you'll find Cone's WealthScript code for comparison with yours.