FA-61836 / Options payoff and settlement / Open access

Option order price tick rounding: sell prices already on a tick are bumped up · case 01

Valid sell limits are moved one tick higher.

Verified by executionVariant 1 · 8 checks per implementationDownload source bundle ↓JSON ↗

ROOT CAUSE

The ceiling is implemented as floor + one tick.

VERIFIED REPAIR

Leave prices already on a tick unchanged.

Unsuccessful approach: Rounding m/tick + 0.5 uses banker's rounding and bumps some on-tick prices.

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.

1 / The failure

Exit 1

"""Failure Map reference implementation. Python standard library only."""
import json

N = 1
observations = []
def solve(price, side, penny):
    m = round(price * 1000)
    small = m < 3000
    tick = (10 if penny else 50) if small else (50 if penny else 100)
    if side == 'buy':
        out = m // tick * tick
    else:
        out = (m // tick + 1) * tick
    return out / 1000
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression on-tick sell prices 1', [0.53, 'sell', True], 0.53], ['regression on-tick sell prices 2', [3.0, 'sell', True], 3.0], ['partial repair probe 1', [2.95, 'sell', False], 2.95], ['partial repair probe 2', [3.05, 'sell', True], 3.05], ['boundary control 1', [3.0, 'buy', False], 3.0], ['boundary control 2', [3.001, 'sell', True], 3.05], ['normal control 1', [3.12, 'buy', True], 3.1], ['normal control 2', [2.951, 'buy', False], 2.95]], [['regression on-tick sell prices 1', [3.0, 'sell', True], 3.0], ['regression on-tick sell prices 2', [2.95, 'sell', True], 2.95], ['partial repair probe 1', [4.15, 'sell', True], 4.15], ['partial repair probe 2', [0.55, 'sell', False], 0.55], ['boundary control 1', [3.001, 'sell', True], 3.05], ['boundary control 2', [3.0, 'buy', False], 3.0], ['normal control 1', [4.13, 'sell', True], 4.15], ['normal control 2', [1.242, 'sell', False], 1.25]], [['regression on-tick sell prices 1', [2.95, 'sell', False], 2.95], ['regression on-tick sell prices 2', [0.55, 'sell', False], 0.55], ['partial repair probe 1', [0.53, 'sell', True], 0.53], ['partial repair probe 2', [0.55, 'sell', True], 0.55], ['boundary control 1', [3.0, 'buy', False], 3.0], ['boundary control 2', [3.001, 'sell', True], 3.05], ['normal control 1', [3.07, 'sell', True], 3.1], ['normal control 2', [12.365, 'buy', False], 12.3]], [['regression on-tick sell prices 1', [2.99, 'sell', True], 2.99], ['regression on-tick sell prices 2', [3.0, 'sell', True], 3.0], ['partial repair probe 1', [0.55, 'sell', True], 0.55], ['partial repair probe 2', [4.15, 'sell', True], 4.15], ['boundary control 1', [3.0, 'buy', False], 3.0], ['boundary control 2', [3.001, 'sell', True], 3.05], ['normal control 1', [4.17, 'sell', False], 4.2], ['normal control 2', [3.071, 'sell', False], 3.1]], [['regression on-tick sell prices 1', [2.95, 'sell', True], 2.95], ['regression on-tick sell prices 2', [0.55, 'sell', True], 0.55], ['partial repair probe 1', [2.95, 'sell', False], 2.95], ['partial repair probe 2', [4.1, 'sell', False], 4.1], ['boundary control 1', [3.0, 'buy', False], 3.0], ['boundary control 2', [3.001, 'sell', True], 3.05], ['normal control 1', [3.005, 'buy', True], 3.0], ['normal control 2', [1.279, 'buy', False], 1.25]]]
for label, args, expected in fixtures[N-1]:
    check(label, solve(*args), expected)
print(json.dumps({"observations": observations, "passed": all(x["passed"] for x in observations)}, ensure_ascii=False))
raise SystemExit(0 if all(x["passed"] for x in observations) else 1)

Boundary fixture	Actual	Expected	Outcome
regression on-tick sell prices 1	`0.54`	`0.53`	Failed
regression on-tick sell prices 2	`3.05`	`3.0`	Failed
partial repair probe 1	`3.0`	`2.95`	Failed
partial repair probe 2	`3.1`	`3.05`	Failed
boundary control 1	`3.0`	`3.0`	Passed
boundary control 2	`3.05`	`3.05`	Passed
normal control 1	`3.1`	`3.1`	Passed
normal control 2	`2.95`	`2.95`	Passed

SHA-256 / 6f5c994cbd583ceaac1581189e2e7c746754dc513bd4fd571f9fe4fa491fc7ec

2 / The unsuccessful fix

Exit 1

"""Failure Map reference implementation. Python standard library only."""
import json

N = 1
observations = []
def solve(price, side, penny):
    m = round(price * 1000)
    small = m < 3000
    tick = (10 if penny else 50) if small else (50 if penny else 100)
    if side == 'buy':
        out = m // tick * tick
    else:
        out = round(m / tick + 0.5) * tick
    return out / 1000
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression on-tick sell prices 1', [0.53, 'sell', True], 0.53], ['regression on-tick sell prices 2', [3.0, 'sell', True], 3.0], ['partial repair probe 1', [2.95, 'sell', False], 2.95], ['partial repair probe 2', [3.05, 'sell', True], 3.05], ['boundary control 1', [3.0, 'buy', False], 3.0], ['boundary control 2', [3.001, 'sell', True], 3.05], ['normal control 1', [3.12, 'buy', True], 3.1], ['normal control 2', [2.951, 'buy', False], 2.95]], [['regression on-tick sell prices 1', [3.0, 'sell', True], 3.0], ['regression on-tick sell prices 2', [2.95, 'sell', True], 2.95], ['partial repair probe 1', [4.15, 'sell', True], 4.15], ['partial repair probe 2', [0.55, 'sell', False], 0.55], ['boundary control 1', [3.001, 'sell', True], 3.05], ['boundary control 2', [3.0, 'buy', False], 3.0], ['normal control 1', [4.13, 'sell', True], 4.15], ['normal control 2', [1.242, 'sell', False], 1.25]], [['regression on-tick sell prices 1', [2.95, 'sell', False], 2.95], ['regression on-tick sell prices 2', [0.55, 'sell', False], 0.55], ['partial repair probe 1', [0.53, 'sell', True], 0.53], ['partial repair probe 2', [0.55, 'sell', True], 0.55], ['boundary control 1', [3.0, 'buy', False], 3.0], ['boundary control 2', [3.001, 'sell', True], 3.05], ['normal control 1', [3.07, 'sell', True], 3.1], ['normal control 2', [12.365, 'buy', False], 12.3]], [['regression on-tick sell prices 1', [2.99, 'sell', True], 2.99], ['regression on-tick sell prices 2', [3.0, 'sell', True], 3.0], ['partial repair probe 1', [0.55, 'sell', True], 0.55], ['partial repair probe 2', [4.15, 'sell', True], 4.15], ['boundary control 1', [3.0, 'buy', False], 3.0], ['boundary control 2', [3.001, 'sell', True], 3.05], ['normal control 1', [4.17, 'sell', False], 4.2], ['normal control 2', [3.071, 'sell', False], 3.1]], [['regression on-tick sell prices 1', [2.95, 'sell', True], 2.95], ['regression on-tick sell prices 2', [0.55, 'sell', True], 0.55], ['partial repair probe 1', [2.95, 'sell', False], 2.95], ['partial repair probe 2', [4.1, 'sell', False], 4.1], ['boundary control 1', [3.0, 'buy', False], 3.0], ['boundary control 2', [3.001, 'sell', True], 3.05], ['normal control 1', [3.005, 'buy', True], 3.0], ['normal control 2', [1.279, 'buy', False], 1.25]]]
for label, args, expected in fixtures[N-1]:
    check(label, solve(*args), expected)
print(json.dumps({"observations": observations, "passed": all(x["passed"] for x in observations)}, ensure_ascii=False))
raise SystemExit(0 if all(x["passed"] for x in observations) else 1)

Boundary fixture	Actual	Expected	Outcome
regression on-tick sell prices 1	`0.54`	`0.53`	Failed
regression on-tick sell prices 2	`3.0`	`3.0`	Passed
partial repair probe 1	`3.0`	`2.95`	Failed
partial repair probe 2	`3.1`	`3.05`	Failed
boundary control 1	`3.0`	`3.0`	Passed
boundary control 2	`3.05`	`3.05`	Passed
normal control 1	`3.1`	`3.1`	Passed
normal control 2	`2.95`	`2.95`	Passed

SHA-256 / e7bbd3f52d114877c3129bd279584ee57052408c8810c54e0bf4d10670eade3b

3 / The verified repair

Exit 0

"""Failure Map reference implementation. Python standard library only."""
import json

N = 1
observations = []
def solve(price, side, penny):
    m = round(price * 1000)
    small = m < 3000
    tick = (10 if penny else 50) if small else (50 if penny else 100)
    if side == 'buy':
        out = m // tick * tick
    else:
        out = -(-m // tick) * tick
    return out / 1000
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
fixtures = [[['regression on-tick sell prices 1', [0.53, 'sell', True], 0.53], ['regression on-tick sell prices 2', [3.0, 'sell', True], 3.0], ['partial repair probe 1', [2.95, 'sell', False], 2.95], ['partial repair probe 2', [3.05, 'sell', True], 3.05], ['boundary control 1', [3.0, 'buy', False], 3.0], ['boundary control 2', [3.001, 'sell', True], 3.05], ['normal control 1', [3.12, 'buy', True], 3.1], ['normal control 2', [2.951, 'buy', False], 2.95]], [['regression on-tick sell prices 1', [3.0, 'sell', True], 3.0], ['regression on-tick sell prices 2', [2.95, 'sell', True], 2.95], ['partial repair probe 1', [4.15, 'sell', True], 4.15], ['partial repair probe 2', [0.55, 'sell', False], 0.55], ['boundary control 1', [3.001, 'sell', True], 3.05], ['boundary control 2', [3.0, 'buy', False], 3.0], ['normal control 1', [4.13, 'sell', True], 4.15], ['normal control 2', [1.242, 'sell', False], 1.25]], [['regression on-tick sell prices 1', [2.95, 'sell', False], 2.95], ['regression on-tick sell prices 2', [0.55, 'sell', False], 0.55], ['partial repair probe 1', [0.53, 'sell', True], 0.53], ['partial repair probe 2', [0.55, 'sell', True], 0.55], ['boundary control 1', [3.0, 'buy', False], 3.0], ['boundary control 2', [3.001, 'sell', True], 3.05], ['normal control 1', [3.07, 'sell', True], 3.1], ['normal control 2', [12.365, 'buy', False], 12.3]], [['regression on-tick sell prices 1', [2.99, 'sell', True], 2.99], ['regression on-tick sell prices 2', [3.0, 'sell', True], 3.0], ['partial repair probe 1', [0.55, 'sell', True], 0.55], ['partial repair probe 2', [4.15, 'sell', True], 4.15], ['boundary control 1', [3.0, 'buy', False], 3.0], ['boundary control 2', [3.001, 'sell', True], 3.05], ['normal control 1', [4.17, 'sell', False], 4.2], ['normal control 2', [3.071, 'sell', False], 3.1]], [['regression on-tick sell prices 1', [2.95, 'sell', True], 2.95], ['regression on-tick sell prices 2', [0.55, 'sell', True], 0.55], ['partial repair probe 1', [2.95, 'sell', False], 2.95], ['partial repair probe 2', [4.1, 'sell', False], 4.1], ['boundary control 1', [3.0, 'buy', False], 3.0], ['boundary control 2', [3.001, 'sell', True], 3.05], ['normal control 1', [3.005, 'buy', True], 3.0], ['normal control 2', [1.279, 'buy', False], 1.25]]]
for label, args, expected in fixtures[N-1]:
    check(label, solve(*args), expected)
print(json.dumps({"observations": observations, "passed": all(x["passed"] for x in observations)}, ensure_ascii=False))
raise SystemExit(0 if all(x["passed"] for x in observations) else 1)

Boundary fixture	Actual	Expected	Outcome
regression on-tick sell prices 1	`0.53`	`0.53`	Passed
regression on-tick sell prices 2	`3.0`	`3.0`	Passed
partial repair probe 1	`2.95`	`2.95`	Passed
partial repair probe 2	`3.05`	`3.05`	Passed
boundary control 1	`3.0`	`3.0`	Passed
boundary control 2	`3.05`	`3.05`	Passed
normal control 1	`3.1`	`3.1`	Passed
normal control 2	`2.95`	`2.95`	Passed

SHA-256 / 9259747b3e302590cac1e04336cbbb1d4da84fbfdb27de3cca9578179d114ccb

Verification & scope

A deterministic toy contract stated explicitly in the contract field; no claim of conformance to any exchange or clearing rulebook. This reproducer isolates one failure mechanism. Results cover the supplied fixtures. Variants within a family share a test contract and should remain grouped when constructing evaluation splits. Related mechanisms with a shared evaluation_group must also remain together; these controlled models are not independent production incidents.

Observations recorded using Python 3.12.14 at 2026-09-29T14:46:59.027448+00:00.

Case digest / 4681e2c02ff9f02101ac10e9a26c126a23fa46c4355061221575c77d3c4fff67