Handling Variable Tick Sizes Across Assets in BacktestAsset

[francoisabcd]

Hi,

I have multiple assets, each with different tick sizes, and in some cases, the tick size changes depending on the asset's price.
Are there any implications or potential issues if I use the smallest tick size across all assets in BacktestAsset?

Thank you!

[nkaz001]

You can set a different tick size for each asset.

Regarding tick size changes depending on the asset's price, I haven’t considered that case. But, I don’t think it causes a problem in general. You just need to be careful when setting your order price so that it aligns with the actual tick size.

The main issue is performance efficiency. It can be significantly reduced because of increased memory usage and unnecessary iterations. For example, if the smallest tick size is 0.01 but there is also a range where the tick size is 1.0, then between those price levels you end up with 100 unnecessary array elements. Each of these needs to be checked during iteration for order fills, which adds overhead.