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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 + 
21/32)

100.21


(100 + 21/32)

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.

100'21


(100 + 21.875/32)

100.217 


(100 + 21/32 + 7/8/32)

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 + 21.5/32)

100.21+ or 100.214


(100 + 21/32 + 4/8/32)

See Also: BrokerTec Fractional Pricing - Tick and Decimal Conversions.

Fractional Price Examples

The following section provides fractional price processing examples.  

Acronym Key

Tick Display Format

(tag 37702-MainFraction)

TDF

The fractional format for a given instrument (e.g. 32nds).

Number of Decimals in Displayed Price

(tag 9800-PriceDisplayFormat)

NDDP

Identifies the number of decimals in the price sent by CME Globex for a given instrument.
This value is a property of the Display Factor for the 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 part0.3359375

TDF = 32

Tick value after conversion

0.3359375 x 32 

= 10.750
Strip decimal separator= 10 750
Apply NDDP= 10 750
       ^^^ 
 123 (Display places)
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 part0.6875

TDF = 32

Tick value after conversion

0.6875 x 32 

= 22.000
Strip decimal separator= 22 000
Apply NDDP of 03= 22 000
         ^^^ 
 123 (Display places)
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 part0.9218750

TDF = 32

Tick value after conversion

0.9218750 x 32 

= 29.500
Strip decimal separator= 29 500
Apply NDDP= 29 500
       ^^^ 
 123 (Display places)
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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