MDP 3.0 - CME Globex Pricing
This topic describes how to obtain and display tick size and pricing data for products traded on CME Globex.
Price formats across different market data protocols will not always match. For example, ITC uses open outcry price conventions while MDP 3.0 uses electronic trading conventions.
Tick Size Calculation
The tick is the minimum price fluctuation allowed for a futures or options contract during a trading session as specified by the contract terms of CME Group. An instrument can have either a variable tick (primarily for options instruments) or a standard tick. Both the variable tick and standard tick are obtained from the Security Definition message.
Tag 6350-TickRule will contain the Variable Tick Table (VTT) index code (see table below). When tag 6350-TickRule = 00, the instrument is not VTT eligible.
Tag 969-MinPriceIncrement will be sent with a value representing "null" in the Security Definition (tag 35-MsgType=d) message for VTT eligible instruments.
Standard Tick Instrument
If the Security Definition (tag 35-MsgType=d) message for an instrument contains tag 6350-TickRule = 00, the instrument uses a standard tick and the value found in tag 969-MinPriceIncrement is the tick size.
Example
1128=9|9=425|35=d|... 969=0.5|...
tick size = 0.5.
Variable Tick Instrument
The following process shows how to calculate the tick size for a VTT eligible instrument.
Example
CME Globex sends the following Security Definition (tag 35-MsgType=d) message for an instrument with a price of 510:
1128=9|35=d|...|6350=1|...
Tag 6350-TickRule contains the VTT index code '1'.
Since tag 6350-TickRule = is 1 for a market price of 510 (P = 510 > 500), the tick size for the contract is 10.
Variable Tick Table
VTT Code | Current CME | CME Globex |
|---|---|---|
1 | P < -500 | 10 |
1 | -500 ≤ P ≤ 500 | 5 |
1 | P > 500 | 10 |
2 | -5 ≤ P ≤ 5 | 0.5 |
2 | P < -5 | 1 |
2 | P > 5 | 1 |
3 | -10 ≤ P ≤ 10 | 1 |
3 | P < -10 | 2 |
3 | P > 10 | 2 |
4 | P < -500 | 25 |
4 | -500 ≤ P ≤ 500 | 5 |
4 | P > 500 | 25 |
10 | P < -300 | 25 |
10 | -300 ≤ P ≤ 300 | 5 |
10 | P > 300 | 25 |
11 | P < -300 | 10 |
11 | -300 ≤ P ≤ 300 | 5 |
11 | P > 300 | 10 |
12 | P < -5 | 0.50 |
12 | -5 ≤ P ≤ 5 | 0.25 |
12 | P > 5 | 0.50 |
13 | -25 ≤ P < 25 | 1 |
13 | P < -25 | 5 |
13 | P > 25 | 5 |
14 | -25 ≤ P ≤ 25 | 2.5 |
14 | P < -25 | 5 |
14 | P > 25 | 5 |
15 | P < -1000 | 25 |
15 | -1000 ≤ P ≤ 1000 | 5 |
15 | P > 1000 | 25 |
16 | P < -5000 | 50 |
16 | -5000 ≤ P ≤ 5000 | 25 |
16 | P > 5000 | 50 |
Suggested Price Display Format
This section provides an approach to extracting price information from the market data Security Definition message for display by the client. As described below, some products may require a decimal to fractional price conversion prior to display.
Suggested price display formats are not available for Variable Tick Table (VTT) eligible instruments.
Display Format for Non-Fractional Products
To harmonize the options strike price with the underlying future's book and trade prices, client systems can use the tag 9787 value from the underlying future on the option strike price.
The client system can use the tags shown in the following table to display the price of the instrument. The display factor is multiplied by both the CME Globex Tick and the CME Globex Price conventions to calculate the display tick and display price.
The following table is a sample display of CME Globex ticks and prices.
Instrument | CME Globex Tick | CME Globex Price tag 270-MDEntryPx | Display Factor tag 9787-DisplayFactor | Display Tick | Display Price |
|---|---|---|---|---|---|
ESH2 | 25 | 113700 | 0.01 | .25 | 1137.00 |
GEM2 | .5 | 9886.5 | 0.01 | .005 | 98.865 |
CME Globex Price x Display Factor = Display Price
CME Globex Tick x Display Factor = Display Tick
Strike Price Display
Observe the following when displaying strike prices:
For most products, clients may use the Display Factor of the underlying future to format the strike price of an option.
The option's Display Factor should only be used for the option trade price and tick.
Example: SOFR Outright Underlying Future
Display Factor (9787): 0.01
Globex-format Settlement Price (1150): 9820.0000000
Factored Settlement Price (9787*1150): 98.200000000– same method should be used for trade and book prices.
[15]="USD" [22]="8" [35]="d" [48]="807004" [55]="SR3Z3” [120]="^@^@^@" [167]="FUT" [200]="2018,3,null,null" [207]="XCME" [231]="null" [461]="FFDXSX" [462]="14" [562]="1" [731]="00000100,4" [779]="1451893172010975676, 01/04/2016 07:39:32:010m:975u:676n" [864]="2" [865]="5" [1145]="1205530200000000000" [865]="7" [1145]="1521453600000000000" [870]="1" [871]="24" [872]="00000000000011000000000000011101,786461" [911]="3458" [969]="5000000,-7" [980]="A" [996]="USD" [1140]="14999" [1141]="2" [264]="5" [1022]="GBX" [264]="2" [1022]="GBI" [1142]="A" [1143]="100000000,-7" [1146]="125000000,-7" [1147]="10000000000000,-7" [1148]="null,-7" [1149]="null,-7" [1150]="98200000000,-7" [1151]="SR3" [1180]="312" [1234]="0" [1300]="82" [1435]="null" [1439]="null" [1682]="4" [5791]="93481" [5792]="403097" [5796]="16805, 01/04/2016" [5799]="00000000,0" [5818]="null" [5819]="null" [5849]="null" [6937]="SR3" [9779]="N" [9787]="100000,-7" [9800]="null"
Example: SOFR MidCurve outright option
Strike Price (202): 9575.0000000
Underlying future’s Display Factor (9787 from the underlying future’s SecDef): 0.01
Factored Strike Price (202*9787 from the underlying future’s SecDef): 95.750000000
Display Factor (9787): 1.0000000
Globex-format Settlement Price (1150): 155.0000000
Factored Settlement Price (9787*1150): 155.0000000 – same method should be used for trade and book prices.
[15]="USD" [22]="8" [35]="d" [48]="678796" [55]="SR3Z3 P9575 [120]="^@^@^@" [167]="OOF^@^@^@" [200]="2016,2,null,null" [201]="0" [202]="95750000000,-7" [207]="XCME" [461]="OPAFPS" [462]="14" [562]="1" [711]="1" [305]="8" [309]="807004" [311]="SR3Z3" [731]="00000100,4" [779]="1451893171960887461, 01/04/2016 07:39:31:960m:887u:461n" [864]="2" [865]="5" [1145]="1439591400000000000" [865]="7" [1145]="1455314400000000000" [870]="1" [871]="24" [872]="00000000000001000010000000000111,270343" [911]="10169" [947]="USD" [969]="5000000,-7" [980]="A" [996]="USD" [1140]="24999" [1141]="1" [264]="3" [1022]="GBX" [1142]="Y" [1146]="125000000,-7" [1147]="10000000000000,-7" [1148]="2500000,-7" [1149]="99999000000000,-7" [1150]="1550000000,-7" [1151]="E2^@^@^@^@" [1180]="313" [1234]="0" [1300]="50" [1682]="4" [5791]="null" [5792]="null" [5796]="16805, 01/04/2016" [5799]="00000000,0" [6350]="null" [6937]="SR3" [9779]="N" [9787]="10000000,-7" [9800]="null" [9850]="2500000,-7" [Template]="41" [Sequence]="732" [SendingTime]="1452033604481574627" [37702]="null" [37703]="null"
Display Format for Fractional Products
Products that require a decimal-to-fractional price conversion are identified in the Security Definition message by the following tags:
tag 37702-MainFraction - Price denominator of main fraction.
tag 37703-SubFraction - Price denominator of sub fraction.
tag 9800-PriceDisplayFormat - Number of digits to the right of tick mark; location of tick mark between whole and non-whole numbers.
Example: ZNZ9 10 Year U.S. Treasury Note Future
1128=9|9=455|35=d| ... |37702=32|37703=2|9800=3| ...
Original decimal price: 112.625
Fractional part after conversion 20 (.625 x 32)
Integer part and fractional part 112 20
Apply Price Display Format of 03 to 112.20
Resulting formatted price 112'200
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