Fix XSP option minimum price variation - #9731
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August 20, 2026 10:48
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Description
Return a constant
$0.01minimum price variation for XSP index options instead of applying the SPX$0.05/$0.10tiers. SPX and the existing VIX/VIXW rules remain unchanged.The regression tests cover XSP and SPX immediately below, at, and above the
$3.00boundary, plus XSP before a reference price is available.Related Issue
Fixes #9717
Motivation and Context
CBOE specifies a
$0.01minimum 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?
Common/QuantConnect.csprojin Release mode with the .NET 10 SDK.$0.05/$0.10values while the three SPX cases passed.git diff --checkpassed.The full repository test suite was not run locally and is left to CI.
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>