tick size

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1

Imported from previous forum

2

Hi

where is the tick size transmiited via FIX?

Thanks
Byron

3

[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Byron,

I have not found any way to relay tick sizes in FIX. We (OMX) miss it too. It is particularily relevant as our marketplaces use:

  • various tick sizes depending on the size of the price
  • various tick size tables for different categories of securities / books

Standing data (or reference data / Master file data) is limited to the messages found in the “Security & Trading Session Definition/Status” category (volume 3 of the spec).

4

[ original email was from Matt Simpson - msimpson@cme.com ]
Tick size can be supported using MinPriceIncrement/tag 969 which was added as part of the FIA Extensions 1.0 proposal and will formally be released with Service Pack 1 in October. The tag was added to the Instrument and Underlying Instrument blocks.

You can see the update in the proposal posted to the GTC site at http://www.fixprotocol.org/documents/2185/FIA%20Extensions_1_1_GTCApproved_v7.doc on page 49

Matt Simpson

Byron,

I have not found any way to relay tick sizes in FIX. We (OMX) miss it
too. It is particularily relevant as our marketplaces use:

  • various tick sizes depending on the size of the price
  • various tick size tables for different categories of securities /
    books

Standing data (or reference data / Master file data) is limited to the
messages found in the “Security & Trading Session Definition/Status”
category (volume 3 of the spec).

5

Thanks! will use this

Tick size can be supported using MinPriceIncrement/tag 969 which was

added as part of the FIA Extensions 1.0 proposal and will formally be
released with Service Pack 1 in October. The tag was added to the
Instrument and Underlying Instrument blocks.

You can see the update in the proposal posted to the GTC site at http:/-
/www.fixprotocol.org/documents/2185/FIA%20Extensions_1_1_GTCApproved_v7-
.doc on page 49

Matt Simpson

Byron,

I have not found any way to relay tick sizes in FIX. We (OMX) miss it
too. It is particularily relevant as our marketplaces use:

  • various tick sizes depending on the size of the price
  • various tick size tables for different categories of securities
    / books

Standing data (or reference data / Master file data) is limited to the
messages found in the “Security & Trading Session Definition/Status”
category (volume 3 of the spec).