How to get tick increment for futures symbols

[mikev777]

Is there a way to get the tick increment for futures symbols using the desktop API?

For example:

For ES (e-mini S&P 500 futures contract), tick increment is 0.25
For YM (e-mini Dow), tick increment is 1
For 6E (Euro FX), tick increment is 0.0001

Is it possible to get this thru a Desktop API function by giving the symbol root?

Michael

[Guest]

No there is not.

[mikev777]

Robi,

Will this feature be made available in the desktop api at some point in time?

Has anybody else ever asked for this?

Michael

[Guest]

Why is it necessary? Can't the tick increment can be derived from last price or time and sale information? Can you describe a case scenario of why you would use it?

[Guest]

FWIW, here is a link to a method to calculate this value when loading historical bars through efs. I would think a similar method could be developed for the desktop api when loading historical bars. I have found it typically converges within 7 to 10 bars of historical information (depending on the length of the interval), potentially even quicker on live data.

http://forum.esignalcentral.com/showthread.php?s=&postid=63016&highlight=min%2A#post63016

[dcurrier]

Originally posted by eSignal Robi
Why is it necessary? Can't the tick increment can be derived from last price or time and sale information? Can you describe a case scenario of why you would use it?

You might want to get the tick increment to determine the display format for the symbol. For instance 2 decimals would cover most issues but you would need 4 for most Forex data. The display would look better wthout trailing zeroes on most issues.


David

[mikev777]

Robi,

You can't necessarily derive the tick increment from last price or time and sales data.

If the ES has a tick increment of 0.25, how can you determine by last price or time sales whether the tick increment is 0.05 or 0.25?

I guess you could have your program look at several prices and make it become aware that all ticks are multiples of 0.25 but that is a sketchy way of doing it at best, especially if you want to make your application commercially available.

There needs to be a 100% foolproof mechanism of getting the tick increment.

dcurrier gave one reason (see below for another) as to why it would be necessary, and i agree with him, as I have stumbled upon that same problem. I guess your solution could solve that problem but can we be 100% sure that all prices will always reflect the total amount of digits after the 0? EC (euro futures) has four digits. What if a last price is 1.293? Will your solution guarantee the right result for ALL symbols for ALL markets? I wouldn't count on it.

Another problem which your solution does not solve is, what if I want to offer being able to increment or decrement by 1 tick at a time on a trading platform. Your solution cannot guarantee it will work all the time. The only way to guarantee is to have eSignal give us the tick increment for the symbol.

A lot of brokers have possibilities of incrementing based on a multiple of the tick increment for a symbol (you can increment by 1, 2, 4, 8 tick increments at a time). In particular, any broker who uses the Integrated Trading Solutions platform (solutions provider providing white-label solutions to brokers, such as e*trade and AB Watley). That platform knows the tick increment for the symbol.

Actually, I'm surprised nobody has asked for this before, especially your institutional customers on your top-end platform.
If it does exist on the top-end platform, it should be relatively straight-forward to bring it to the desktop api.

Hope this clarifies,
Michael

[mikev777]

Steve,

Thanks for the code. That would work on an interim basis but I guess there is still room for error, although I would agree the error window is quite small.

Still, I do think this should be a feature offered by the desktop api as all brokers seem to understand what this tick increment (or Minimum Price Fluctuation: MPF) is.

Thanks again.

Robi, would this feature be considered for add-on at a later date?

Michael

[GenSpoo]

I use the tick size as well. Though I have just hard coded the values for the symbols I use.

It does come in handy from time to time as others have said both in charting so you can round the scales and cursor values to tick increments, etc., in trading so you can do things like auto-increment trailing stops properly, for a ladder style depth of market trade screen (because you need the rungs on the ladder to match each tick), for generating volume profiles to display on said ladder (depending on how you track the volume profile data). For stocks I just assume a penny tick size, but for futures you really do need to know the size to perform certain things "properly".

Cheers... George

[dcurrier]

I just ran into another situation where the tick increment would be nice for presentation purposes.

Bonds are still sold in fractional units (I think down to 1/32). The actual values are carried as decimal numbers but I might want to display them as fractions since people who trade them will expect fractions.

If we could get some sort of code that says the trading units are 1/100, 1/10000, 1/32, 1/16, etc. along with the fundamental data,(like name which we get now), it would be helpful.

David

[Guest]

There is a base code that describes the tick interval. I will work on getting that added.

[mikev777]

Robi,

Thanks for the update.

As dcurrrier mentioned, there may be other fundamental data for a symbol that you would want to offer. For futures, for example, it would be great to have the dollar value corresponding to the tick increment.

Example:
ES (e-mini S&P 500) - tick incrment: 0.25; dollar value = $12.50

Michael

[Guest]

Yes, that is another code (can't remember the name, though). These fields will not make into the 7.9 release, however.

[mikev777]

Thanks Robi,

Actually, I didn't think they would make it into 7.9 anyway.

Do you have an idea as to when they would be made available to customers?

Michael

[mikev777]

Is there any news as to when the below data for futures sysmbols would be available?

Minimum Price fluctuation (or tick increment) and dollar value of minimum price fluctuation.

Michael