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 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
When bit 11 = ‘1’, this indicates product has fractional display price.
Price denominator of main fraction.
Price denominator sub fraction.
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
- Fractional Pricing - Display Examples
- Fractional Pricing - Examples for Order Entry
- Fractional Pricing - Tick and Decimal Conversions
- Fractional Price Processing for BrokerTec Products
The Tick Conversion Grid provides a downloadable spreadsheet that contains comprehensive tick conversion information.