Checking Apparent Half-Tick Moves in Micro E-mini Futures

Summary

The document addresses apparent half-tick price changes in Micro E-mini futures despite the stated minimum tick size. Its accepted answer suggests first checking whether the data show executed trades or midquotes. When the bid–ask spread widens from one tick to two because one side moves, the midpoint can shift by half a tick even though the displayed trade price remains on a valid tick.

The practical diagnostic is to inspect bid and ask prices directly and determine whether the half-tick movement remains in the actual quotes or only appears in the calculated midpoint. A second answer notes that exchange specifications define tick size and that some contracts can have tick sizes that change over their lifetime; those terms should be checked in the relevant specification. The discussion does not establish that all trade feeds are tick-constrained in every circumstance, nor does it identify a special access privilege or name the granularity convention asked about.

Key ideas

• A midpoint can move by half a tick when the bid–ask spread changes, even if trade prices remain on tick increments.
• Check actual bid and ask prices to distinguish quote-derived movement from executed trades.
• Exchange contract specifications define the tick size and may specify changes over a contract’s life.
• The document does not identify a special trading privilege or provide a definitive name for the observed granularity.

Tags

# two separate minimum tick sizes for micro emini futures?


# two separate minimum tick sizes for micro emini futures?












I see that the minimum tick for the micro emini futures contract (MES) is .25 (according to the page on CME's website here). I see a lot of changes in the price that are equal to half of that, though.

- What are the requirements that one must have in order to have access to this privilege?

- What is the ability to trade at this increased granularity called?

## Answer by Tyler Olsen (score 2, accepted)

https://quant.stackexchange.com/a/53403

(copying my comment on the original question, since it seems to have solved the problem)

Have you verified whether these are trade prices, or midquotes? If the spread increases from 1-tick to 2 ticks by (e.g. ) the ask increasing, then the midquote would appear to move up by 1/2 tick. Trades can (as far as I know) only occur on ticks. Put more simply, look at actual bid/ask prices and see if this behavior still persists.

## Answer by ThatDataGuy (score 1)

https://quant.stackexchange.com/a/53407

The tick size is whatever the exchange says it is. That said, there are some contracts where the tick size can change over the lifetime of the contract. If so, it should be stated in the contract specification which the exchange provides.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.