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Reading Fractional Treasury Futures Quotes in 128ths

Article Quant Q&A · Author: Jordan
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Summary

The document explains how to interpret a five-year U.S. Treasury note futures price displayed in a fractional quote format. It says the contract's tick size is one 128th of a point, equivalent to one quarter of a 32nd. On that basis, a displayed quote with a fractional final digit may represent a value in quarter-32nd increments rather than a decimal fraction of a 32nd.

The answer applies this convention to a reported TradeStation close-out price and suggests a corresponding decimal-style expression. It cautions, however, that the respondent does not know the broker's specific display convention and recommends verifying the interpretation with the broker. The explanation is useful for understanding quote granularity, but the exact reading of a platform-formatted price depends on that platform's notation and should not be assumed from the contract tick alone.

Key ideas

  • Five-year Treasury note futures prices use increments of one 128th of a point.
  • A 128th is one quarter of a 32nd, so fractional quote digits can encode quarter-32nd increments.
  • The broker's display convention should be checked before converting a platform quote.

Tags

FuturesFixed incomeUS markets
Full text
# How do you convert a five year treasury future to an readable price?


# How do you convert a five year treasury future to an readable price?












I closed out on a five year treasury note (FVH22) at a price of 119'14.7 (trade station brokerage). Does that convert to 119+14.7/32?

## Answer by user42108 (score 3, accepted)

https://quant.stackexchange.com/a/69566

Tick size in ZF, aka FV, is 128ths, i.e. 1/4 of 1/32nd. Most likely "119'14.7" means 119+14.75/32. See https://www.cmegroup.com/markets/interest-rates/us-treasury/5-year-us-treasury-note.contractSpecs.html.

I'm not familiar with TradeStation's quotation conventions so you should verify this with them directly.

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