Penny Pilot Program for Options Pricing

Expected Behavior

The Lean Algorithm should support the Penny Pilot Program, allowing options on eligible securities to be quoted and traded in $0.01 increments for quotes below $3.00 and $0.05 increments for quotes at or above $3.00.

Actual Behavior

Currently, when attempting to update an order on an option such as AAPL with an expiration date of 2024/07/19 and a strike price of 215 (Right: Call), the system throws an error indicating that the price is not rounded to a valid increment. For example, attempting to place an order at a price of 18.12 results in an error like "18.12000000 not rounded to a valid price increment [0.05]".

Potential Solution

1. Identify Eligible Securities: Update the symbol and market data handling to identify securities included in the Penny Pilot Program.
2. Modify Price Increment Logic: Adjust the order processing logic to allow $0.01 increments for options priced below $3.00 and maintain $0.05 increments for options priced at or above $3.00.
3. Validation Updates: Ensure the order validation process supports the new price increment rules for eligible options.
4. Testing and Verification: Implement unit and integration tests to ensure that options eligible under the Penny Pilot Program are correctly handled and that price increments are properly validated.

Reproducing the Problem

1. Create a new algorithm in the Lean.
2. Use the following code to define an option contract:

var AAPLOption = Symbol.CreateOption(Symbols.AAPL, Market.USA, OptionStyle.American, OptionRight.Call, 215m, new DateTime(2024, 7, 19));

3. Attempt to update an order for the AAPL option with a price increment of $0.01, such as 18.12
4. Observe the error indicating that the price is not rounded to a valid increment:

18.12000000 not rounded to a valid price increment [0.05]

Please ensure that the Lean Algorithm Framework is updated to handle the Penny Pilot Program pricing increments correctly.

System Information

OS: Windows 10 x64
test: run on x64 CPU
IDE: Visual Studio 2022

Additional Sources

• Cboe - Equity Options Product Specification
• Reddit - description

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