FA-61822 / Options payoff and settlement / Member archive

Option order price tick rounding: the 3.00 threshold is expressed in cents while prices are in mills · case 02

Almost every order is priced on the large tick.

Member previewVariant 2 · 3 implementations · 8 checks per implementation

Case contract

Inputs a limit price (up to 3 decimals), side and penny-program flag. Work in mills. Below 3.000 the tick is 0.01 for penny classes and 0.05 otherwise; at or above 3.000 it is 0.05 for penny classes and 0.10 otherwise. Buy orders round down to a tick, sell orders round up; prices already on a tick are unchanged. Return the price as a float.

Why this case matters

Option expiry, exercise and settlement engines move cash and shares; a wrong branch misstates obligations.

One recorded failure

Sample boundary fixture

This sample comes from the broken implementation of a controlled reproducer.

Boundary fixture	Actual	Expected	Outcome
regression tick threshold units 1	`1.25`	`1.28`	Failed

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