This topic provides examples of the conversion process for CME Group products that require a decimal-to-fractional price conversion.
The following provides examples of the application of the tag 9800-PriceDisplayFormat.
Acronym Key
Tick Display Format | TDF | The fractional format for a given instrument (e.g. 32nds). |
Number of Decimals in Displayed Price | NDDP | Identifies the number of decimals in the price sent by CME Globex for a given instrument. |
Treasuries
30 Yr Bonds FUTURE, TDF 32, NDDP 2 | |
|---|---|
Original decimal price | 115.28125 |
Fractional part after conversion | 9 (.28125 x 32) |
Integer part and fractional part | 115 09 |
Apply NDDP of 02 | 115 09 |
Resulting formatted price | 115'09 |
| 30 Yr Bonds FUTURE with Reduced Tick Spread, TDF 32, NDDP 3 | |
Original decimal price | 115.28125 |
Fractional part after conversion | 9 (.28125 x 32) |
Integer part and fractional part | 115 090 |
Apply NDDP of 03 | 115 090 |
Resulting formatted price | 115'090 |
| 10 Yr Note FUTURE, TDF 32, NDDP 3 | |
Original decimal price | 112.625 |
Fractional part after conversion | 20 (.625 x 32) |
Integer part and fractional part | 112 20 |
Apply NDDP of 03 | 112 20 |
Resulting formatted price | 112'200 |
| 5 Yr Note FUTURE, TDF 32, NDDP 3 | |
Original decimal price | 108.109375 |
Fractional part after conversion | 3.5 (.109375 x 32) |
Integer part and fractional part | 108 035 |
Apply NDDP of 03 | 108 035 |
Resulting formatted price | 108'035 |
| 2 Yr Note FUTURE, TDF 32, NDDP 3 | |
Original decimal price | 104.8828125 |
Fractional part after conversion | 28.25 (.8828125 x 32) |
Integer part and fractional part | 104 2825 |
Apply NDDP of 03 | 104 2825 |
Resulting formatted price | 104'282 |
Display Example 1: Two-Year U.S. Treasury Note Futures
Decimal Price: 108.69921875
TDF = '32'
NDDP = '03'
Integer part is 108, fractional part is 0.69921875
| Starting Fractional part | 0.69921875 |
|---|---|
TDF = 32 Tick value after conversion | 0.69921875 x 32 = 22.375 |
| Strip decimal separator | = 22375 |
| Apply NDDP | = 22375 ^^^ 123 (Display places) |
| Resulting formatted tick value | = 223 |
To display the full formatted price, append the formatted tick value, '223' to the original integer part, '108'.
Resulting full formatted price: 108'223
Display Example 2: 30-Day Fed Funds Options
This example is the special case of conversion based on TDFT = '02', and NDDP = '01'. For this combination, NDDP is to be treated as '00'.
Decimal Price: 22.5
TDF = '02'
NDDP = '01'
Important
Per the exception for the combination of TDF = 02 and NDDP = 01, the NDDP is to be evaluated as 00.
Evaluated NDDP: 00
Integer part is 22, fractional part is 0.5
Starting fractional part | 0.5 |
TDF = 02 indicates that the fractional part is base-10 so no conversion is necessary. |
Resulting tick value = .5
| Strip decimal separator | = 5 |
|---|---|
| Apply NDDP (NDDP of 00 effectively truncates the fractional portion) | = 5 |
| Resulting formatted tick value | = no value, fractional portion is truncated |
To display the full formatted price, append the formatted tick value, (no value) to the original integer part, '22'.
Resulting full formatted price: 22
Incorrect Example
| Original decimal price | 113.5078125 |
|---|---|
| Fractional part after conversion (Incorrect: decimal separator should be stripped as part of formatting the fractional part) | 16.25 |
| Integer part and fractional part (Incorrect: decimal separator should be stripped as part of formatting the fractional part) | 113 16.25 |
| Apply NDDP of 03 (Incorrect: NDDP should be applied to the start of the fractional part, not the decimal separator within) | 113 16.25 |
| Resulting formatted price (Incorrect: price should be 113'162) | 11316'250 |