Is there any resource containing the tick increment values of NASDAQ/NYSE equities (.0001, .01, .05), or way to programmatically determine it (rule or formula) ?
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3 Answers
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The way I managed to solve this was by scrapping the broker website and compile a list containing Symbol, Primary Exchange, Tick Increment, ISIN, CONID, ASSETID of 6589 Equities from NASDAQ, NYSE and AMEX.
Here's a gist of the list:
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http://tsp.finra.org/finra_org/ticksizepilot/TSPilotSecurities.txt
The relevant field being "Tick_Size_Pilot_Program_Group", Gx or C categorization. There is no formula to determine this as this rule is new, on a trial basis and the participating listings aren't chosen completely objectively. It's designed to help market making firms at the expense of retail traders.
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From a feed perspective, you can take a look at the feed spec, it should be mentioned among descriptions of the data types e.g. fixed point integer with 4 implied decimal places and be applied across all symbols. This should be universal so you could hardcode it.
Thereafter, you can look up the MPV in the rule books - see this answer: https://quant.stackexchange.com/a/32383/4660 This would again be hardcoded.
Then, you would want to adjust this for the tick pilot: here's the lists for NYSE and NASDAQ. This is the part where you would parse and programmatically determine the tick sizes.
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$\begingroup$ The linked files only specified a part of the total equities traded on both exchanges, I need more. tks anyway! $\endgroup$ Commented Mar 12, 2017 at 19:37
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$\begingroup$ Also, the rules presented on the answer you linked to, miss symbols that trade in 0.05 increments $\endgroup$ Commented Mar 14, 2017 at 9:43