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Answering this question is relevant to assess the quality of a time series in order to observe whether the data vendor applies some rounding to the data or is more decimal are present than the actual tick size.

Please provide possibly the official source (e.g. www.nasdaq.com, www.nyse.com)

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  • $\begingroup$ There is no such list, to my knowledge. $\endgroup$ – noob2 Jun 17 '16 at 17:59
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    $\begingroup$ The list could be empirically observed, so I don't see a reason for not disclosing that list publicly. For example London Stock Exchange provides such list for the Italian stock market (see page 2) $\endgroup$ – Elrond Jun 18 '16 at 9:52
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In case of NYSE equities rule 7.6 reads: "The minimum price variation ("MPV") for quoting and entry of orders in securities traded on the NYSE Arca Marketplace is USD 0.01, with the exception of securities that are priced less than USD 1.00 for which the MPV for quoting and entry of orders is USD 0.0001."

For NASDAQ equities rule 4701 (k) reads: "The term "minimum price increment" means USD 0.01 in the case of a System Security priced at USD 1 or more per share, and USD 0.0001 in the case of a System Security priced at less than USD 1 per share."

In addition there is the SEC tick size pilot program (FINRA, SEC) which you can find embedded in the rule books as well.

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    $\begingroup$ These should be adjusted for the ongoing SEC min tick pilot program $\endgroup$ – LazyCat Feb 13 '17 at 2:53
  • $\begingroup$ Historically, also remember the decimalization (from fractional) that started occurring in 1997 (started with a pilot program, and continued to expand thereafter). Also note that such ticks are only for trades on that particular exchange. Trades on other platforms/ECNs can be more granular. $\endgroup$ – Norgate Data Nov 17 '18 at 7:41

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