Imported from previous forum
[ original email was from Tim Yates - tyates@patsystems.com ]
Are there any FIX fields that specify such instrument parameters as the tick size (minimum price movement), and the value of one tick?
I’ve been looking specifically at the FIX 4.3 SecurityList message, but I can’t see anything relevant. Also, what is the meaning of RoundLot?
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
> Are there any FIX fields that specify such instrument parameters as the tick size (minimum price movement), and the value of one tick?
>
> I’ve been looking specifically at the FIX 4.3 SecurityList message, but I can’t see anything relevant. Also, what is the meaning of RoundLot?
>
We do not have fields defined for tick size in FIX 4.3. We may wish to provide this along with other relevant product specifications as a part of the next release. There is also a derivative security list message that is more appropriate for obtaining standing data (product specifications) for derivatives. As with Security List, it does not specify tick size.
We will capture this item as a possible enhancement.
Roundlot is used to indicate the trading lot size for a security, for instance for stocks 100 shares. We have not used this for derivatives in the past. We do have ContractMultiplier, which is the factor to convert from contracts to number of shares of the underlying, this is not used very often in practice.
Please provide a list of other listed options and futures characteristics that your firm would find useful as part of standing data so we can include them as proposals for the next version of the specification.
In the securities industry, the opposite of a Roundlot is an Oddlot. Given
that securities usually trade in blocks with some number of round lots, for
example 200 shares or two contracts (with a 100 multiplier), an oddlot could
be an order for 63 or 163 shares or contracts.
Doug Hoffman
Chicago Board Options Exchange
dhh@cboe.com
> > Are there any FIX fields that specify such instrument parameters as the tick size (minimum price movement), and the value of one tick?
> >
> > I’ve been looking specifically at the FIX 4.3 SecurityList message, but I can’t see anything relevant. Also, what is the meaning of RoundLot?
> >
>
> We do not have fields defined for tick size in FIX 4.3. We may wish to provide this along with other relevant product specifications as a part of the next release. There is also a derivative security list message that is more appropriate for obtaining standing data (product specifications) for derivatives. As with Security List, it does not specify tick size.
>
> We will capture this item as a possible enhancement.
>
> Roundlot is used to indicate the trading lot size for a security, for instance for stocks 100 shares. We have not used this for derivatives in the past. We do have ContractMultiplier, which is the factor to convert from contracts to number of shares of the underlying, this is not used very often in practice.
>
> Please provide a list of other listed options and futures characteristics that your firm would find useful as part of standing data so we can include them as proposals for the next version of the specification.
>