Is there any resource containing the tick increment values of
NASDAQ/NYSE equities (
.05), or way to programmatically determine it (rule or formula) ?
The way I managed to solve this was by scrapping the broker website and compile a list containing
ASSETID of 6589 Equities from NASDAQ, NYSE and AMEX.
Here's a gist of the list:
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.
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.