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Determining Equity Tick Sizes from Exchange Rules and Security Lists

Article Quant Q&A · Author: Pedro Lobito
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Summary

The document discusses how to determine minimum price increments for U.S. exchange-listed equities. Its answers describe compiling a reference table of symbols and tick increments, consulting regulatory or exchange-provided security lists, and combining those sources with market-data feed specifications and applicable rulebook provisions. One answer points to the tick-size pilot classification as a source for identifying affected securities and notes that the categories cannot be derived from a universal formula.

The practical lesson is that tick size may depend on security-specific classifications and changing rules, so a static assumption can be incomplete. A robust lookup process should account for the relevant listing venue and current pilot or rule status. The discussion is an informal set of approaches rather than a complete implementation guide: it does not establish that the cited lists remain current, specify update procedures, or provide a definitive decision tree covering every equity and trading context.

Key ideas

  • Equity tick increments can depend on listing and security-specific rule classifications.
  • Security reference tables and official classification lists can help identify applicable increments.
  • Feed specifications may describe price representation, while exchange rules define minimum increments.
  • The discussion offers lookup approaches but no general formula or ongoing data-maintenance procedure.

Tags

EquitiesMarket microstructureExecutionUS markets
Full text
# Find the tick increment value of an equity


# Find the tick increment value of an equity












Is there any resource containing the tick increment values of `NASDAQ/NYSE` equities (`.0001`, `.01`, `.05`), or way to programmatically determine it (rule or formula) ?

## Answer by Pedro Lobito (score 2)

https://quant.stackexchange.com/a/32977

The way I managed to solve this was by scrapping the broker website and compile a list containing `Symbol`, `Primary Exchange`, `Tick Increment`, `ISIN`, `CONID`, `ASSETID` of 6589 Equities from NASDAQ, NYSE and AMEX. Here's a gist of the list:

## Answer by misantroop (score 2)

https://quant.stackexchange.com/a/33798

http://tsp.finra.org/finra_org/ticksizepilot/TSPilotSecurities.txt

The relevant field being "Tick_Size_Pilot_Program_Group", Gx or C categorization. There is no formula to determine this as this rule is new, on a trial basis and the participating listings aren't chosen completely objectively. It's designed to help market making firms at the expense of retail traders.

## Answer by madilyn (score 1)

https://quant.stackexchange.com/a/32798

From a feed perspective, you can take a look at the feed spec, it should be mentioned among descriptions of the data types e.g. fixed point integer with 4 implied decimal places and be applied across all symbols. This should be universal so you could hardcode it.

Thereafter, you can look up the MPV in the rule books - see this answer: https://quant.stackexchange.com/a/32383/4660 This would again be hardcoded.

Then, you would want to adjust this for the tick pilot: here's the lists for NYSE and NASDAQ. This is the part where you would parse and programmatically determine the tick sizes.

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.