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Fix XSP option minimum price variation - #9731

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mameikagou wants to merge 1 commit into
QuantConnect:masterfrom
mameikagou:bug-9717-xsp-tick-size
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Fix XSP option minimum price variation#9731
mameikagou wants to merge 1 commit into
QuantConnect:masterfrom
mameikagou:bug-9717-xsp-tick-size

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Description

Return a constant $0.01 minimum price variation for XSP index options instead of applying the SPX $0.05/$0.10 tiers. SPX and the existing VIX/VIXW rules remain unchanged.

The regression tests cover XSP and SPX immediately below, at, and above the $3.00 boundary, plus XSP before a reference price is available.

Related Issue

Fixes #9717

Motivation and Context

CBOE specifies a $0.01 minimum tick for every XSP series. Applying the SPX tiers rounds valid XSP order prices and can change submitted live limit or stop prices.

Requires Documentation Change

No. The XML remarks now include the CBOE Mini-SPX specification alongside the existing product references.

How Has This Been Tested?

  • Built Common/QuantConnect.csproj in Release mode with the .NET 10 SDK.
  • Ran the focused NUnit fixture in a .NET 10 container: 7/7 tests passed.
  • Ran the same fixture against the parent commit: the four XSP cases failed with the old $0.05/$0.10 values while the three SPX cases passed.
  • git diff --check passed.

The full repository test suite was not run locally and is left to CI.

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

@mameikagou
mameikagou marked this pull request as ready for review August 20, 2026 10:48
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Successfully merging this pull request may close these issues.

IndexOption applies SPX-style tiered minimum price variation (0.05/0.10) uniformly to XSP, ignoring XSP's uniform $0.01 tick per CBOE spec

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