I'm interested in HFT cointegration stratagies, and recently found interesting article "Algorithmic Trading of Co-Integrated Assets"
The article describes mean-reversion strategy for N-assets. Authours build the model which suggests optimal inventory at each moment in time based on regression estimates and their derivatives.
I reproduced the model in matlab and it suggests fractions of assets as optimal inventory. However I am trading on futures market, and it is only allowed to trade with integer amount of contracts. What is the best practice to round fractional number of futures for real HFT trading (simply multiply by 10 is too expensive)?