The main inadequacies between back testing futures and stocks or currencies appear because of different margin requirements, full point values and tick sizes
when trading derivatives.
The tick size
will see no change for securities with a market value ranging from Dh1 to Dh10 which will continue to be traded with the unit of 1 fils.
2004), Tick size
NYSE rule and ex-dividend 118, day stock price behavior, Journal of Financial Economics, Vol.
However, because retail investors require less depth to conduct trading, optimal tick size
depends positively on typical trade size.
As per the new modification, Tick Size
for securities below Dh10 will be changed from 0.
For the shares that are traded in Bahraini dinars, the first category consists of shares traded within the price range of one fils to 200 fils, where the tick size
is one fils only.
The market maker hypothesis suggests that companies strive for an optimal tick size
dollar based cash settled index, which will be listed on a quarterly cycle, will have a tick size
of five index points or USD 25 or approximately HKD 194.
Specialists rarely step ahead of limit orders (less than 2 percent of the time), but they step ahead more often after the tick size
changes from $1/8 to $ 1/16.
For instance, the Instrument Service makes tick size
structures available for exchanges that provide tick size
information, the Order Service is used for entering, modifying and cancelling orders, and the Market Data Service provides clients with real time Best Bid and Offer, depth of market, public trades and news for an exchange.
Thomson Reuters Matching includes platform controls that can influence trading behaviour, including Minimum Quote Life that ensures longevity of orders in the book and gives counterparties a fair chance of trading those orders, and Minimum Tick Size
that helps achieve the right balance between tight spreads and stability of prices.
getFuturesSpecifications: Provides contract information such as trading hours, contract size and tick size
for futures contracts.