Wrong tick size?

June 27th, 2022, 03:11 PM

Today i was looking into the Fed Funds 30 day(ZQEN22) tick size which it assumed to be 0.005 instead the DOM shows 0.002, 0.003 orders.

Is it supposedly to be like this?

June 28th, 2022, 09:21 AM

https://www.cmegroup.com/markets/interest-rates/stirs/30-day-federal-fund.contractSpecs.html
MINIMUM PRICE FLUCTUATION
1/2 of one basis point (0.005) = $20.835

Beginning at 5:00 p.m. CT on the Sunday preceding the first business day of the spot month: 1/4 of one basis point (0.0025) = $10.4175

It's a 0.5 tick for most months but for the prompt months it's a 0.25 tick. Hence ZQN22 is currently 98.3200/98.3225.

Note that this last Sunday was the "Sunday preceding the first business day of July" hence for this week we have both June and July at 0.25 tick.

Sounds like your software is correctly picking up the quarter tick, but is only using 3 decimal places in its display hence why you are seeing 0.2 and 0.3 and not 0.25. What software are you using?

June 28th, 2022, 03:53 PM

SMCJB

MINIMUM PRICE FLUCTUATION
1/2 of one basis point (0.005) = $20.835

Beginning at 5:00 p.m. CT on the Sunday preceding the first business day of the spot month: 1/4 of one basis point (0.0025) = $10.4175

It's a 0.5 tick for most months but for the prompt months it's a 0.25 tick. Hence ZQN22 is currently 98.3200/98.3225.

Note that this last Sunday was the "Sunday preceding the first business day of July" hence for this week we have both June and July at 0.25 tick.

Sounds like your software is correctly picking up the quarter tick, but is only using 3 decimal places in its display hence why you are seeing 0.2 and 0.3 and not 0.25. What software are you using?

Thanks for the quick response ^^

Im using metatrader 5, i'd like to add that it doesn't let me to create limit orders on this 0.002, 0.003 price range.

E.g: i can create a limit order at 98.325 but 98.323.

Wrong tick size?

Discussion in Treasury Notes and Bonds

Wrong tick size?