2
$\begingroup$

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) ?

$\endgroup$
2
$\begingroup$

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:

$\endgroup$
2
$\begingroup$

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.

$\endgroup$
1
$\begingroup$

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.

$\endgroup$
  • $\begingroup$ The linked files only specified a part of the total equities traded on both exchanges, I need more. tks anyway! $\endgroup$ – Pedro Lobito Mar 12 '17 at 19:37
  • $\begingroup$ Also, the rules presented on the answer you linked to, miss symbols that trade in 0.05 increments $\endgroup$ – Pedro Lobito Mar 14 '17 at 9:43

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.