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David Mitchell here. Long time, no see. Glad to see you seem to be keeping well.
Thanks for that – I’m still getting my head around Optuma’s scripting language, and your code makes a lot of sense.
I’m a bit wary of using a fixed percentage though. I’m currently trading the Nikkei which is sitting around 22,000; 0.5% of that is 110, or 22 ticks. That’s a bit larger than I’d like, but the Nikkei is historically a bit unusual in that the prices are high compared to the historical average true range (pre-Trump; after Jan 2017 the average ranges have blown out a bit). I could see that 0.5% might be a good fit for most other markets though.
For what it’s worth, in the past I’ve found that a good way to calculate the tick size is as follows:
- take the open, high, low, close prices from the last 20 bars (so you’ll have 80 numbers in total)
- sort them from highest to lowest
- the smallest non-zero gap between consecutive values in the sorted list is almost always the tick size
If you use >20 bars you’ll get a more precise number, but then you get screwed up with markets like Aussie bonds where the tick size changes from 0.1 to 0.05 in the last few days of the contract.
Thanks again – time to run some experiments.