Market Data Unfair Advantage Posting Status Robert 2016

Point and Tick Values

CSI displays 3 different types of price values related to futures markets. Usually these values can be computed from the contract size, units, conversion factor, and minimum tick.

Full Point Value

This represents the contract value per 1.0 unit of currency.This is the general formula:

FullPointValue = ContractSize x UnitOfMeasurement

For example, CME Live Cattle contract size is 40000 lbs and units are cents per pound.

FullPointValue = ContractSize x UnitOfMeasurement = 40000 lbs x cents per pound = 40000 cents = $400.00

Alternatively this formula can be used:

FullPointValue = FranctionalPointValue x ConversionFactorDivisor

For example, the CME website contract specifications states that the FractionalPointValue is $4.00. The conversion factor is +2 which means the ConversionFactorDivisor is 100.

FullPointValue = FranctionalPointValue x ConversionFactorDivisor = $4.00 x 100 = $400.00

The conversion factor divisors:
-9 =640
-8 =320
-7 =320
-6 =256
-5 =128
-4 =64
-3 =32
-2 =16
-1 =8
0 =1
1 =10
2 = 100
3 = 1000
4 = 10000
5 = 100000
6 = 1000000
7 = 10000000
8 = 100000000

Fractional Point Value

This represents the contract value of the pricing increment precision unit.

FranctionalPointValue = FullPointValue / ConversionFactorDivisor

Tick Value

The tick value is the minimum price fluctuation of one contract.

TickValue = FractionalPointValue x MinimumTick

For example, CME Live Cattle has a minimum tick of 2.5 and the FractionalPointValue is $4.00.

TickValue = FractionalPointValue x MinimumTick = $4.00 x 2.5 = $10.00