(OR) Market Data: Formatting Prices

TT FIX Adapter delivers and expects all prices in decimal (points) format. TT derives this format using the product information (Point Value and Tick Size) sent by each exchange. In the Price Conversion Table, you can specify a decimal value by which TT FIX Adapter will divide all prices for a given product before publishing them to the FIX client(s). TT FIX Adapter will also expect all orders to be submitted in this new format. In addition to adjusting the prices, TT FIX Adapter divides Tag 16552 (TickSize) and multiplies Tag 16554 (PointValue) by the factor.

Example: custom price formats

Suppose CME delivers the following contract specifications for ES futures:

• Point Value = 0.5
• Tick Size = 25 / 1
• Tick Value = Point Value x Tick Size = \$12.50

As a result, valid prices in the decimal format of points delivered and expected by the CME for this contract look similar to:

128175 128200 128225 128250

Adding the following entry to the Price Conversion Table section:

yields the following results:

• TT FIX Adapter divides all prices by 100 before delivering them to FIX clients, as follows:

1281.75 1282.00 1282.25 1282.50

• TT FIX Adapter multiplies all prices by 100 for all orders received from FIX clients before sending them to the appropriate TT Gateway. For example, if a FIX client sends an order to the TT FIX Adapter to buy 1 ES-Mar07 @ 1281.75, the TT FIX Adapter sends the order to the TT Gateway as buy 1 ES-Mar07 @ 128175.
• In the Security Definition (d) message for each ES contract, TT FIX Adapter divides Tag 16552 (TickSize) by 100 and multiplies Tag 16554 (PointValue) by 100, as shown.

Tag

Without price conversions

With price conversions

16552

25

0.25

16554

0.5

50

Example: converting decimals to ticks

Suppose the contract specifications delivered by the CBOT for ZB futures are:

• Point Value = \$1000
• Tick Size = 1 / 32 = 0.03125
• Tick Value = Point Value x Tick Size = \$31.25

As a result, valid prices in the decimal format of points delivered and expected by the CBOT for this contract look similar to:

104.0 104.03125 104.06250 104.09375

You can convert these prices to ticks by creating the following Price Conversion Table entry:

With this entry:

• TT FIX Adapter divides all prices by 0.03125 before delivering them to FIX clients, as follows:

3329 3330 3331 3332

• TT FIX Adapter multiplies all prices by 0.03125 for all orders received from FIX clients before sending them to the appropriate TT Gateway. For example, if a FIX client sends an order to the TT FIX Adapter to buy 1 ZB-Mar07 @ 3331 the TT FIX Adapter sends the order to the TT Gateway as buy 1 ZB-Mar07 @ 104.06250.
• In the Security Definition (d) message for each ZB contract, TT FIX Adapter divides Tag 16552 (TickSize) by 0.03125 and multiplies Tag 16554 (PointValue) by 0.03125, as shown.

Tag

Without price conversions

With price conversions

16552

0.03125

1

16554

1000

31.25