github-featured / quantconnect--lean

发布

0 发布 4,269 Git 标签

RSS 订阅源
  • 17978 42b9d7666b
    比较

    Fix the USD/KRW minimum price variation (#9656)

    frostbyte_neo 发布于 2026-08-05 14:37:46 +00:00 | 0 次提交 在此版本后已推送到 master

    The oanda USD/KRW entry declared a 0.00001 minimum price variation, the
    generic five decimal forex default, for a pair that IB quotes around
    1430: three orders of magnitude finer than its real tick, and out of
    line with the other big number oanda pairs, which scale it (USD/JPY,
    USD/HUF, USD/INR and USD/THB all use 0.001).

    Interactive Brokers reports 0.01 as the minimum tick of its USD/KRW
    IDEALPRO contract, so a limit order priced at 1395.123 is rounded down
    to 1395.12 before it is sent. LEAN rounds order prices with the symbol
    properties value, so the brokerage was the only thing keeping sub tick
    prices from being used, and a backtest would rest limit orders at prices
    the venue cannot represent.

    The interactivebrokers entry, added by #9585 with the correct tick, is
    removed: forex resolves through the brokerage model default market,
    which is oanda for Interactive Brokers, so it is only reachable by
    passing the market explicitly and it duplicates the oanda one.

    Co-authored-by: Claude Opus 5 noreply@anthropic.com

    下载附件