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Support for Variable Ticking

Overview

TT SGX Gateway 7.5 introduces variable ticking for the following contracts:

  • Euroyen (TIBOR) Futures
  • Euroyen (LIBOR) Futures
  • Futures Combinations
  • Inter-commodity Contracts
Note

SGX will not be introducing Variable Ticking contracts at this time. An introduction date will be announced at a later time.

Price tick changes are calculated through Price Time Multiplier (PTM), meaning that the price tick of the far months will be a multiple of the front months. Tick sizes will change intra-day in the T+1 session of the expiring contract month’s Last Trading Day (LTD).

Following an intra-day tick size change, X_TRADER® must be restarted. If X_TRADER® is not restarted, the contract will continue to tick in the previous size and orders entered at that size will go through successfully.

Though prices at the new tick will be shown in the Market Grid depth view, if X_TRADER® is not restarted, orders entered at the new tick size will be rejected. MD Trader® will not show prices at the new tick size until X_TRADER® is restarted.

Variable Ticking Example

In the following example, the contract spot month expires at 10:00 AM (GMT+8:00) Singapore Standard Time zone and time on the expiring contract month’s LTD. The new price tick structure will apply to the next fourth nearest contract month in the T+1 session, in this case the December 10 contract.

Variable Tick Size

Month

LTD at Start of Day (T Session)

LTD at 10:05 AM (T Session)

LTD at 8:00 PM (T+1 Session)

December 09

0.0025 (PTM=1)

Expired

Expired

March 10

0.0025 (PTM=1)

0.0025 (PTM=1)

0.0025 (PTM=1)

June 10

0.0025 (PTM=1)

0.0025 (PTM=1)

0.0025 (PTM=1)

September 10

0.0025 (PTM-1)

0.0025 (PTM=1)

0.0025 (PTM=1)

December 10

0.0050 (PTM=2)

0.0050 (PTM=2)

0.0025 (PTM=1)

March 11

0.0050 (PTM=2)

0.0050 (PTM=2)

0.0050 (PTM=2)

June 11

0.0050 (PTM=2)

0.0050 (PTM=2)

0.0050 (PTM=2)

September 11

0.0050 (PTM=2)

0.0050 (PTM=2)

0.0050 (PTM=2)