Thursday, January 24, 2019

equities - Where can be found the tick size list for stocks traded in NASDAQ and NYSE?


Answering this question is relevant to assess the quality of a time series in order to observe whether the data vendor applies some rounding to the data or is more decimal are present than the actual tick size.



Please provide possibly the official source (e.g. www.nasdaq.com, www.nyse.com)



Answer



In case of NYSE equities rule 7.6 reads: "The minimum price variation ("MPV") for quoting and entry of orders in securities traded on the NYSE Arca Marketplace is USD 0.01, with the exception of securities that are priced less than USD 1.00 for which the MPV for quoting and entry of orders is USD 0.0001."


For NASDAQ equities rule 4701 (k) reads: "The term "minimum price increment" means USD 0.01 in the case of a System Security priced at USD 1 or more per share, and USD 0.0001 in the case of a System Security priced at less than USD 1 per share."


In addition there is the SEC tick size pilot program (FINRA, SEC) which you can find embedded in the rule books as well.


No comments:

Post a Comment

technique - How credible is wikipedia?

I understand that this question relates more to wikipedia than it does writing but... If I was going to use wikipedia for a source for a res...