Trading conventions and lot sizes

  • Published on Feb 20, 2025

When mastering certain types of instrument in LUSID, you can specify lot size rules for trading those instruments. These rules determine a minimum order size and minimum increment (lot size) that LUSID uses when generating orders and allocating trades.

You can specify this information in the tradingConventions section of each instrument definition. The tradingConventions section is available for the following instrument types:

Note: Currently, Equity and ContractForDifference instruments use the lotSize field instead of tradingConventions.

Adding trading conventions to an instrument

You can define tradingConventions for an instrument within the definition using the UpsertInstruments API.

For example, you could specify the following definition for a bond to ensure LUSID generates orders with a minimum size of 10 and increment of 5:

{
 "startDate": "2019-02-15T00:00:00.0000000+00:00",
  "maturityDate": "2049-02-15T00:00:00.0000000+00:00",
  "domCcy": "EUR",
  "flowConventions": { ... },
  "principal": 1,
  "couponRate": 0.03,
  "tradingConventions": {
    "priceScaleFactor": 1,
    "minimumOrderSize": 10,
    "minimumOrderIncrement": 5
  },
  "instrumentType": "Bond"
}

Note: LUSID uses priceScaleFactor when calculating the effect of open orders and booking trades. If not specified, the value defaults to 1.

Some instrument types have a lotSize field instead of tradingConventions. For such instruments, you might specify the following definition to ensure LUSID generates orders with a round lot size of 20:

{
  "domCcy": "EUR",
  "lotSize": 20,
  "instrumentType": "Equity"
}

Rebalance dashboard

When you rebalance your portfolio, the Rebalance dashboard rounds your orders to meet the minimum order size and increment size for each instrument.

For example, imagine you use the Rebalance control panel to spend 50,000 EUR across two instruments:

  • An equity with a defined lot size of 20

  • A bond with a minimum order size of 10 and minimum order increment of 5

LUSID displays a resulting order quantity for each instrument that adheres to the rounding rules:

You can click on the warning icon in the Breaches column to see the rounding rules applied to each instrument, and optionally override them:

Note the following:

  • If you are selling out of a whole position, for example setting Target Exposure to 0, LUSID ignores the rounding rules and sells out of the entire position.

  • Trading conventions and lot sizes support sizes below 1. This allows you to create fractional orders for specific instruments, for example funds.

Manually entering order quantities

If you manually enter order quantities in the Rebalance dashboard, the dashboard warns you if your orders do not adhere to the minimum order or increment size.

The dashboard does not automatically adjust manually-entered order quantities.

Order Blotter

The Order Blotter prevents you from creating orders that do not adhere to the defined trading conventions for each instrument.

Post-trade

Allocation algorithms also adhere to the defined lot size/trading conventions when allocating fills.