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.
For products fractional pricing, client systems can use the Display Factor to determine delimiter placement.
Formatted Price = CME Globex Price * DCF Value, then substitute a delimiter for the decimal separator.
Example: Soybean Meal Futures
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 Factor Examples
- Fractional Pricing - Examples for Order Entry
- Fractional Pricing - Tick and Decimal Conversions
The Tick Conversion Grid provides a downloadable spreadsheet that contains comprehensive tick conversion information.