Imported from previous forum
[ original email was from Francesc Prats - fprats@meff.com ]
I am thinking about some product characteristics in derivatives such as the minimum price movement value (a.k.a. tick value) and the contract size. Any ideas for including these information in FIX 4.4?.
[ original email was from Matt Simpson - msimpson@cme.com ]
> I am thinking about some product characteristics in derivatives such as
the minimum price movement value (a.k.a. tick value) and the contract
size. Any ideas for including these information in FIX 4.4?.
Francesc -
A new tag was defined for this purpose as part of the FIA Extensions and will be added to the repository shortly. The tag is MinPriceIncrement and is defined as the “Minimum price increment for the instrument. Could also be used to represent tick value”. It will become part of the Instrument Component Block.
Matt Simpson