Reconstructing Historical Tick Sizes for US Securities

Summary

The discussion concerns how to determine minimum tick sizes for US securities across historical periods, including years before the cited 2001 rule change. The response cautions that a single definitive historical source may be difficult to find and suggests piecing together the record from regulatory and industry materials. It also notes that tick rules have varied by security and over time, so a broad rule based on price alone does not describe every case.

The response points to the penny pilot and related symbol-specific rules as complications, and notes that sub-penny price improvement can make actual execution prices differ from a security’s usual quoted increment. These observations matter when building historical market data or interpreting transaction prices: the applicable quoting increment, symbol eligibility, and execution context may not be identical. The document offers research directions rather than a complete timeline or a comprehensive source list, so it does not establish tick sizes for every security and date.

Key ideas

• A complete historical record of minimum tick sizes for US securities may be difficult to locate in one source.
• Historical tick rules can be pieced together from regulatory and industry materials.
• Security-specific pilot rules complicate a simple account of tick sizes based only on price thresholds.
• Sub-penny price improvement can produce executions at increments different from the usual quoted tick.

Tags

# tick size for US securities


# tick size for US securities












I there a source or way from which I can find out the minimum tick size for US securities at any point in time from 1970 until today? I know that securities above \$1 have \$0.01 tick while those below \$1 have \$0.0001 tick since Jan 29, 2001 but how about before this time?

## Answer by chollida (score 1)

https://quant.stackexchange.com/a/35552

You probably can't find a definitive resource.

You can however past this together using sources on line.

https://www.finra.org/industry/tick-size-pilot-program

https://www.sec.gov/oiea/investor-alerts-bulletins/ia_ticksize.html

> I know that securities above \$1 have \$0.01 tick while those below \$1 have \$0.0001 tick since Jan 29, 2001 but how about before this time?

This is not really correct anymore due to the penny pilot tick rule put in place a few years ago on select symbols

The good news is that this doesn't change too often, if you search for penny pilot tick rule you'll find the majority of the symbols that traded at odd increments.

And warehousing has made this a bit muddier as sub penny price improvement can mean tickers that normally trade in penny increments actually get filled at non penny increments.

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.