Fractional Price Processing for BrokerTec Products
Certain BrokerTec instruments will support fractional pricing. All required conversion inputs are contained in the Security Definition (tag 35-MsgType=d) message. Within the Security Definition message, the tag 871-872 repeating group pair indicates if the product has a fractional display price. Tags 37702 and 37703 indicate the main and sub fractions, respectively. Tag 9800-PriceDisplayFormat provides the information for formatting the resulting fractional price.
Tag | FIX Name | Description |
---|---|---|
→871 | InstrAttribType | Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. ‘24’ = Eligibility |
→872 | InstrAttribValue | When bit 11 = ‘1’, this indicates product has fractional display price. |
37702 | MainFraction | Price denominator of main fraction. (e.g. 32 for 1/32) |
37703 | SubFraction | Price denominator sub fraction. (e.g. 2 for 1/2) |
9800 | PriceDisplayFormat | Number of digits to the right of tick mark; location of tick mark between whole and non-whole numbers. |
The fractional conversion methodology for BrokerTec instruments is different from the current CME Globex futures and options offering. The following table outlines the differences between CME Globex futures and options and BrokerTec instruments:
Summary | Current CME Globex: Display Price for Futures & Options | BrokerTec Equivalent: Display Price for BrokerTec on CME Globex |
---|---|---|
Decimal Location The fractional pricing convention for futures and options on CME Globex uses an apostrophe, or "tick", to denote when a fractional value begins. The BrokerTec convention uses a decimal to denote when a fractional value begins. | 100'210
| 100.210
|
Last Digit The Futures and Options convention on CME Globex sometimes uses the right-most digit to represent a truncated decimal value. In the BrokerTec convention, digits to the right of the decimal always represent the numerator value of the fraction. | 100'218
| 100.217
|
Plus Symbol Denotes Half The BrokerTec convention uses a plus (+) sign to denote half of a 32nd. It is also acceptable to display the plus sign as 4. | 100'215
| 100.21+ or 100.214
|
Fractional Price Examples
The following section provides fractional price processing examples.
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. |
Display Example 1: Five-Year BrokerTec US Active Bonds (1/4th of 1/32)
Decimal Price: 100.3359375
TDF = '32'
NDDP = '03'
Integer part is 100, fractional part is 0.3359375
Starting Fractional part | 0.3359375 |
---|---|
TDF = 32 Tick value after conversion | 0.3359375 x 32 |
Strip decimal separator | = 10 750 |
Apply NDDP | = 10 750 |
Determine Fraction | .750 = 3/4 = 6/8 |
Resulting formatted tick value | = 106 |
To display the full formatted price, append the formatted tick value, '106' to the original integer part, '100'.
Resulting full formatted display price: 100.106
Display Example 2: Seven-Year BrokerTec US Active Bonds (1/2 of 1/32)
Decimal Price: 100.6875
TDF = '32'
NDDP = '03'
Integer part is 100, fractional part is 0.6875
Starting Fractional part | 0.6875 |
---|---|
TDF = 32 Tick value after conversion | 0.6875 x 32 |
Strip decimal separator | = 22 000 |
Apply NDDP of 03 | = 22 000 |
Determine Fraction | .000 = 0 |
Resulting formatted tick value | = 22 (zero dropped) |
To display the full formatted price, append the formatted tick value, '22' to the original integer part, '100'.
Resulting full formatted display price: 100.22
Display Example 3: Two-Year BrokerTec US Active Bonds (1/8th of 1/32) with Plus Symbol
Decimal Price: 100.9218750
TDF = '32'
NDDP = '03'
Integer part is 108, fractional part is 0.9218750
Starting Fractional part | 0.9218750 |
---|---|
TDF = 32 Tick value after conversion | 0.9218750 x 32 |
Strip decimal separator | = 29 500 |
Apply NDDP | = 29 500 |
Determine Fraction | .500 = 4/8 = + |
Resulting formatted tick value | = 294 or 29+ |
To display the full formatted price, append the formatted tick value, 294 or '29+' to the original integer part, '100'.
Resulting full formatted display price: 100.294 or 100.29+
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