Updated:
- Addded code that looks at 'Tick_Size_Pilot_Program_Group' column and removes the control group which isn't affected by price restrictions
- Added code that includes details on how to buy/sell in .05 increments if needed.
- Cleaned up code and removed unnessesary lines
- Now works in live trading and backtests
If you already use fetcher in your algorithm:
line 8: #del df['Tick_Size_Pilot_Program_Group']
line 32: context.TSPP = [x for x in data.fetcher_assets if data.current(data.fetcher_assets,'Tick_Size_Pilot_Program_Group')[x]] #untested but should work because only TSPP fetched assets will have this data. Slows down execution signifigantly.