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SEC Tick Size Pilot Program -- 5 cent increment orders
Blue Seahawk
edited
Tools and Tips

This program began with 500 securities. Now on February 1, 2017 is 2351 stocks or perhaps nearly 30% of Q stocks.

Some functions for adjusting to 5 cent increments here. Useful for stop and limit orders for example.

Securities and Exchange Commission
https://www.sec.gov/oiea/investor-alerts-bulletins/ia_ticksize.html

Beginning October 3, 2016, a new National Market System (NMS) Plan to implement a Tick Size Pilot Program (the “pilot”) will widen the minimum quoting and trading increment —sometimes called the “tick size” — for some small capitalization stocks. The goal of the pilot is to study the effect of tick size on liquidity and trading of small capitalization stocks.

Financial Industry Regulatory Authority
http://tsp.finra.org/finra_org/ticksizepilot/TSPilotSecurities.txt (the list)
http://www.finra.org/industry/tick-size-pilot-program
http://www.finra.org/industry/tick-size-pilot-program-implementation-plan
http://www.finra.org/industry/oats/tick-size-pilot-data-collection-securities-files

RH
https://support.robinhood.com/hc/en-us/articles/214848443--0-05-Increment-Orders

The list of TSPP stocks is updated daily. We will cancel any open order for a stock that is selected for the TSPP if it isn’t in a $0.05 increment. We will send you an email if your order is canceled.

2 responses
Luke Izlar

I struggle with this a lot, I've placed some logic that prevents my algo from placing any order if the stocks price is evenly divisible by 0.05 and have special logic that if the cost-basis of any stock I hold is evenly divisible by .05 then it will sell in increments of .05 but it STILL buys these and it STILL gets rejected sell orders... forcing me to intervene and manually sell...

I'm just about at my wits end, does anyone here know how to take the link to the text list and parse it into a CSV and add that to our algorithms? I know it's possible I just can't figure out how to do it myself.

Edit: I can do it manually but I don't know how to automate it, I'd like to not have to do it every time they update the list

Luke Izlar

you got me motivated to find the final solution to this problem. I made a new thread to increase visibility and searchability https://www.quantopian.com/posts/dynamic-tspp-list

It took many many hours and google searches. The quantopian api documents are REALLY lacking when it comes to fetch_csv. There are a ton of cool things you can do with it.

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