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The minimum tick increment is defined in the instrument’s Security Definition (tag 35-MsgType=d) message in tag 969-MinPriceIncrement. The Variable Tick Table (VTT) values are defined in the instrument’s Security Definition (tag 35-MsgType=d) message in tag 6350-TickRule value.
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SOFR User Defined Options Spreads Examples
The following examples illustrate how tick increments are determined for the SOFR complex.
Example 1: All Legs are Fixed 1/4 Tick
If all legs are fixed 1/4 tick, the spread will be fixed 1/4 tick.
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- 969-MinPriceIncrement=.25
Example 2: Legs are Mix of 1/4 Tick and VTT=12
If the legs are a mix of 1/4 tick and VTT=12, the spread will be VTT=12.
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- 969-MinPriceIncrement=VTT
Example 3: All Legs are VTT=12
If all legs are VTT=12, the spread will be VTT=12.
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- 969-MinPriceIncrement=VTT
Example 4: A Leg is 1/2 Tick
If any leg is 1/2 tick, the spread will be 1/2 tick.
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UDS Tick Result
- 969-MinPriceIncrement=.5
Example 5: Bundle Exception
In this example, the legs are a combination of 1/4 tick and VTT=12, but a bundle is part of the UDS and the expiry date of the underlying future and option are the same. As a result, the smallest tick (.25) is used.
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