Jan. 23, 2015
9:23 p.m.
On Fri, 23 Jan 2015 15:15:39 -0600 Skip Montanaro <skip.montanaro@gmail.com> wrote:
In these situations you need to recognize when the floating point value you have is within some small tolerance equal to a price on an exact tick boundary. Furthermore, these comparisons need to take into account the different tick sizes of different contracts, The CME's Yen/USD futures contract (6Y) has a tick size (minimum change between two valid prices) of $.000001 while their Euro/USD futures contract (6E) has a tick size of $.0001.
If you have such a precise requirement (the given tick size), you have to roll your own function, there's no point in a stdlib function, right? Regards Antoine.