Fractional Pricing - Examples for Order Entry

The following examples show how to apply the instrument minimum tick increment from the market data Security Definition message to the display price for order entry purposes.

Minimum Price Fluctuation Example 1: Two-Year U.S. Treasury Note Futures

• Tick Display Format = '32'

• Number of Minimum Tick Increments = 0001

• CME Globex tick size = 0.00390625

• Multiplying the CME Globex tick size by the Number of Minimum Tick Increments yields a minimum price fluctuation of 0.00390625 (0.00390625 x 1 = 0.00390625).

Minimum Price Fluctuation Example 2: 30-Day Fed Funds Options

• Tick Display Format = '02'

• Number of Minimum Tick Increments = 0005

• CME Globex tick size = 0.5

• Multiplying the CME Globex tick size by the Number of Minimum Tick Increments yields a minimum price fluctuation of 2.5 (0.5 x 5 = 2.5).