The matching layer will not accept fewer than 5 shares. Sounds trivial. It means that any "fixed $1 per trade" rule silently becomes a stake that drifts with price — which makes your windows incomparable and your backtest irreconcilable with live.
Shares, not dollars. And the dollar cost of 5 shares depends entirely on price:
| Price | Cost of 5 shares | A "fixed $1" order becomes |
|---|---|---|
| 0.10 | $0.50 | 10 shares — fine |
| 0.20 | $1.00 | exactly 5 shares — the boundary |
| 0.50 | $2.50 | rounded up to $2.50 |
| 0.90 | $4.50 | rounded up to $4.50 |
Below the boundary you stake $1; above it you stake whatever 5 shares cost. So your actual stake correlates with price — and price correlates with probability.
Which means you are size-weighting your bets by probability without intending to. Cheap outcomes get one weighting and expensive ones another, and no line in your code says so.
Two things follow: windows are no longer comparable to each other, and a backtest that assumed a fixed $1 cannot be reconciled with live results.
$5 is the smallest fixed stake that holds at every price. Below it there is always some price band where the constraint takes over and the stake drifts.
| Fixed stake | Holds at |
|---|---|
| $1 | prices up to 0.20 only |
| $2 | up to 0.40 |
| $5 | every price up to 0.99 |
| Situation | Consequence |
|---|---|
| Multi-outcome boards | every leg must clear 5 shares, so the minimum viable set scales with the number of outcomes |
| Cold outcomes | a band at 0.01 needs only $0.05, but there may be no size to buy |
| Small-capital testing | you cannot test at $1 — the floor for honest testing is $5 |
| Partial fills | a partially filled order can still leave you below any size you assumed |
The first row matters for anyone looking at complementary-set arbitrage: an eleven-band ladder has a minimum viable set of eleven legs × 5 shares, which is a much larger commitment than the binary case — see complementary-set arbitrage.
This is worth generalising because it recurs. Any time your rule and the system's constraint are denominated differently — dollars vs shares, percentages vs points, per-trade vs per-day — the system's unit wins, and your rule changes shape without telling you.
The check is cheap: place one order at the extremes of your intended price range and confirm the actual filled size is what you expected. Two trades, five minutes.
The venue counts in shares; you are probably thinking in dollars. Where those two disagree, the venue wins — and a "fixed stake" below $5 quietly becomes a stake that varies with probability, which is a bet you did not intend to place.
5 × 0.99 = $4.95, so $5 is the smallest fixed stake valid at every price to 0.99.
Verify by hand.