Fractional Pricing
This topic describes processing required for certain CME Group products that require a decimal-to-fractional price conversion. 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 that the product has a fractional display price. Tags 37702 and 37703 indicate the main and sub fractions, respectively. Tag 9787-DisplayFactor and tag 9800-PriceDisplayFormat provide 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. |
37703 | SubFraction | Price denominator sub fraction. |
9800 | PriceDisplayFormat | Number of digits to the right of tick mark; location of tick mark between whole and  non-whole numbers. Example: where tag 9800=3, display fractional price as: 112'200 |
EXCEPTION: For products that tick in modified fourths (30-Day Fed Funds options and Rough Rice options), the decimal '.5' is denoted in the price display. The Display Factor will be sent as '01' but should be treated as '00'. For example, an actual price of '12.5' would be displayed as '12' even though the display factor value '01' normally dictates a display of '12.5'. Therefore, client systems must include the .5 in the fractional conversion to decimal calculation for these products.
See also:
The Tick Conversion Grid provides a downloadable spreadsheet that contains comprehensive tick conversion information.
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