CME security tick sizes history

Discussion in 'Data Sets and Feeds' started by jelite, May 2, 2018.

  1. jelite

    jelite

    Is there a simple way to find changes in tick sizes (minimum price increment) of liquid US futures traded on CME? I would look for dates on which tick size was adjusted (along with values before/after). One (rather painful) way of doing it is to sift through their CFTC filings and look for amendments to rules. I did that and produced the following list, however, I have no idea how complete it is:
    ES, 0.25
    YM, 1
    NQ, 0.25
    TF, 0.1
    6A, 0.0001
    6B, 0.0001
    6C, 0.0001, 7/10/2016, 0.00005
    6E, 0.0001, 1/10/2016, 0.00005
    6J, 0.000001, 6/21/2015, 0.0000005
    6M, 0.000025, 7/14/2014, 0.00001
    6N, 0.0001
    6S, 0.0001
    GE, 0.005
    ZT, 0.0078125
    ZF, 0.0078125
    ZN, 0.015625
    ZB, 0.03125
    UB, 0.03125
    ZC, 0.25
    ZW, 0.25
    ZS, 0.25
    ZM, 0.1
    ZL, 0.01
    LE, 0.025
    HE, 0.025
    CL, 0.01
    NG, 0.001
    HG, 0.0005
    GC, 0.1
    SI, 0.005
    FDAX, 0.5
    FESX, 1
    BRN, 0.01
    GAS, 0.25
    WBS, 0.01
    ULS, 0.25
    CC, 1
    KC, 0.05
    CT, 0.01
    SB, 0.01
    FGBS, 0.005
    FGBM, 0.01
    FGBL, 0.01
    FGBX, 0.02
    HO, 0.0001
    MGC, 0.1
    NIY, 5
    NKD, 5
    PA, 0.05, 5/6/2018, 0.1
    PL, 0.1
    QC, 0.002
    QG, 0.005
    QI, 0.0125
    QM, 0.025
    QO, 0.25
    RB, 0.0001
     
  2. jharmon

    jharmon

    Don't even get me started on full 32nds to half 32nds to full 32nds on ZB (30 year T-Bonds) in the late noughties.

    Lots more like that.
     
  3. jelite

    jelite

    I only need this back to 2011.